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  1. Transactions on Modeling and Computer Simulation (TOMACS)
  2. ACM Transactions on Modeling and Computer Simulation (TOMACS) : Volume 21
  3. Issue 2, February 2011
  4. The double CFTP method
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ACM Transactions on Modeling and Computer Simulation (TOMACS) : Volume 27
ACM Transactions on Modeling and Computer Simulation (TOMACS) : Volume 26
ACM Transactions on Modeling and Computer Simulation (TOMACS) : Volume 25
ACM Transactions on Modeling and Computer Simulation (TOMACS) : Volume 24
ACM Transactions on Modeling and Computer Simulation (TOMACS) : Volume 23
ACM Transactions on Modeling and Computer Simulation (TOMACS) : Volume 22
ACM Transactions on Modeling and Computer Simulation (TOMACS) : Volume 21
Issue 4, August 2011
Issue 3, March 2011
Issue 2, February 2011
Efficient rare event simulation for heavy-tailed compound sums
The double CFTP method
Modeling and simulation of SIP tandem server with finite buffer
Forwarding devices: From measurements to simulations
A variant of importance splitting for rare event estimation: Fixed number of successes
On deriving and incorporating multihop path duration estimates in VANET protocols
Issue 1, December 2010
ACM Transactions on Modeling and Computer Simulation (TOMACS) : Volume 20
ACM Transactions on Modeling and Computer Simulation (TOMACS) : Volume 19
ACM Transactions on Modeling and Computer Simulation (TOMACS) : Volume 18
ACM Transactions on Modeling and Computer Simulation (TOMACS) : Volume 17
ACM Transactions on Modeling and Computer Simulation (TOMACS) : Volume 16
ACM Transactions on Modeling and Computer Simulation (TOMACS) : Volume 15
ACM Transactions on Modeling and Computer Simulation (TOMACS) : Volume 14
ACM Transactions on Modeling and Computer Simulation (TOMACS) : Volume 13
ACM Transactions on Modeling and Computer Simulation (TOMACS) : Volume 12
ACM Transactions on Modeling and Computer Simulation (TOMACS) : Volume 11
ACM Transactions on Modeling and Computer Simulation (TOMACS) : Volume 10
ACM Transactions on Modeling and Computer Simulation (TOMACS) : Volume 9
ACM Transactions on Modeling and Computer Simulation (TOMACS) : Volume 8
ACM Transactions on Modeling and Computer Simulation (TOMACS) : Volume 7
ACM Transactions on Modeling and Computer Simulation (TOMACS) : Volume 6
ACM Transactions on Modeling and Computer Simulation (TOMACS) : Volume 5
ACM Transactions on Modeling and Computer Simulation (TOMACS) : Volume 4
ACM Transactions on Modeling and Computer Simulation (TOMACS) : Volume 3
ACM Transactions on Modeling and Computer Simulation (TOMACS) : Volume 2
ACM Transactions on Modeling and Computer Simulation (TOMACS) : Volume 1

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Technical Report

The double CFTP method

Content Provider ACM Digital Library
Author James, Lancelot F. Devroye, Luc
Copyright Year 2011
Abstract We consider the problem of the exact simulation of random variables $\textit{Z}$ that satisfy the distributional identity $\textit{Z}$ $=^{L}$ $\textit{VY}$ + $(1-\textit{V})\textit{Z},$ where $\textit{V}$ ∈ [0,1] and $\textit{Y}$ are independent, and $=^{L}$ denotes equality in distribution. Equivalently, $\textit{Z}$ is the limit of a Markov chain driven by that map. We give an algorithm that can be automated under the condition that we have a source capable of generating independent copies of $\textit{Y},$ and that $\textit{V}$ has a density that can be evaluated in a black-box format. The method uses a doubling trick for inducing coalescence in coupling from the past. Applications include exact samplers for many Dirichlet means, some two-parameter Poisson--Dirichlet means, and a host of other distributions related to occupation times of Bessel bridges that can be described by stochastic fixed point equations.
Starting Page 1
Ending Page 20
Page Count 20
File Format PDF
ISSN 10493301
e-ISSN 15581195
DOI 10.1145/1899396.1899398
Volume Number 21
Issue Number 2
Journal ACM Transactions on Modeling and Computer Simulation (TOMACS)
Language English
Publisher Association for Computing Machinery (ACM)
Publisher Date 2011-02-18
Publisher Place New York
Access Restriction One Nation One Subscription (ONOS)
Subject Keyword Bessel bridge Dirichlet means Markov chain Monte Carlo Poisson-Dirichlet Random variate generation Coupling from the past Distribution theory Expected time analysis Perpetuities Random partitions Simulation Stochastic fixed point equations Stochastic recurrences
Content Type Text
Resource Type Article
Subject Computer Science Applications Modeling and Simulation
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