Recently Propp and Wilson [14] have proposed an algorithm, called coupling from the past (CFTP), which allows not only an approximate but perfect (i.e. exact) simulation of the stationary distribution of certain finite state space Markov chains. Perfect sampling using CFTP has been successfully extended to the context of point processes by, amongst other authors, Häggström et al. [5]. In [5] Gibbs sampling is applied to a bivariate point process, the penetrable spheres mixture model [19]. However, in general the running time of CFTP in terms of number of transitions is not independent of the state sampled. Thus an impatient user who aborts long runs may introduce a subtle bias, the user impatience bias. Fill [3] introduced an exact sampling algorithm for finite state space Markov chains which, in contrast to CFTP, is unbiased for user impatience. Fill's algorithm is a form of rejection sampling and similarly to CFTP requires sufficient monotonicity properties of the transition kernel used. We show how Fill's version of rejection sampling can be extended to an infinite state space context to produce an exact sample of the penetrable spheres mixture process and related models. Following [5] we use Gibbs sampling and make use of the partial order of the mixture model state space. Thus we construct an algorithm which protects against bias caused by user impatience and which delivers samples not only of the mixture model but also of the attractive area-interaction and the continuum random-cluster process.

Let Xi : i ≥ 1 be i.i.d. points in ℝd, d ≥ 2, and let Tn be a minimal spanning tree on X1,…,Xn. Let L(X1,…,Xn) be the length of Tn and for each strictly positive integer α let N(X1,…,Xn;α) be the number of vertices of degree α in Tn. If the common distribution satisfies certain regularity conditions, then we prove central limit theorems for L(X1,…,Xn) and N(X1,…,Xn;α). We also study the rate of convergence for EL(X1,…,Xn).

When fractal dimensions are estimated from an observed point pattern, there is some ambiguity as to the interpretation of the quantity being estimated. (The point pattern itself has dimension zero.) Two possible interpretations are described. In the first of these, the observation region is regarded as being held fixed, while observations accumulate with time. In this case, provided the process is stationary and ergodic in time, and the cumulants satisfy certain regularity constraints, the dimension estimates consistently estimate the Rényi moment dimensions of the marginal distribution in space. If the regularity constraints are not satisfied, then different limits can be obtained according to the manner in which the limits are taken.

In the second case, the process is regarded as being stationary and ergodic in its spatial component, time being held fixed. In this case the estimates provide consistent estimates of the initial power-law rates of growth of the moment measures of the Palm distribution, the estimates for successively higher Rényi dimensions estimating the growth rates for successively higher-order moment measures of the Palm distribution.

Several examples are given, to illustrate the different types of behaviour which may occur, including the case where the points are generated by a dynamical system.

Kohonen self-organizing interval maps are considered. In this model a linear graph is embedded randomly into the unit interval. At each time a point is chosen randomly according to a fixed distribution. The nearest vertex and some of its nearby neighbors are moved closer to the point. These models have been proposed as models of learning in the audio-cortex. The models possess not only the structure of a Markov chain, but also the added structure of a random dynamical system. This structure is used to show that for a large class of these models, in a strong way, the initial conditions are unimportant and only the dynamics govern the future. A contractive condition is proven in spite of the fact that the maps are not continuous. This, in turn, shows that the Markov chain is uniformly ergodic.

In this paper, isotropic random projections of d-sets in ℝn are studied, where a d-set is a subset of a d-dimensional affine subspace which satisfies certain regularity conditions. The squared volume reduction induced by the projection of a d-set onto an isotropic random p-subspace is shown to be distributed as a product of independent beta-distributed random variables, for d ≤ p. One of the proofs of this result uses Wilks' lambda distribution from multivariate normal theory. The result is related to Cauchy's and Crofton's formulae in stochastic geometry. In particular, it can be used to give a new and quite simple proof of one of the classical Crofton intersection formulae.

We study the structure of genealogical trees of reduced subcritical Galton-Watson processes in a random environment assuming that all (randomly varying in time) offspring generating functions are fractional linear. We show that this structure may differ significantly from that of the ‘classical’ reduced subcritical Galton-Watson processes. In particular, it may look like a complex ‘hybrid’ of classical reduced super and subcritical processes. Some relations with random walks in a random environment are discussed.

Consider an aggregate arrival process AN obtained by multiplexing N on-off processes with exponential off periods of rate λ and subexponential on periods τon. As N goes to infinity, with λN → Λ, AN approaches an M/G/∞ type process. Both for finite and infinite N, we obtain the asymptotic characterization of the arrival process activity period.

Using these results we investigate a fluid queue with the limiting M/G/∞ arrival process At∞ and capacity c. When on periods are regularly varying (with non-integer exponent), we derive a precise asymptotic behavior of the queue length random variable QtP observed at the beginning of the arrival process activity periods

where ρ = 𝔼At∞ < c; r (c ≤ r) is the rate at which the fluid is arriving during an on period. The asymptotic (time average) queue distribution lower bound is obtained under more general assumptions regarding on periods than regular variation.

In addition, we analyse a queueing system in which one on-off process, whose on period belongs to a subclass of subexponential distributions, is multiplexed with independent exponential processes with aggregate expected rate 𝔼et. This system is shown to be asymptotically equivalent to the same queueing system with the exponential arrival processes being replaced by their total mean value 𝔼et.

For random planar stationary tessellations a parameter system of three mean values and two directional distributions of the edges is considered. To investigate the interdependences between these parameters their joint range is described, i.e. the set of values which can be realized by tessellations. The constructive proof is based on mixtures of stationary regular tessellations. To explore the range for the class of stationary ergodic tessellations a procedure is used which we refer to as iteration.

We study the present value Z∞ = ∫0∞ e-Xt-dYt where (X,Y) is an integrable Lévy process. This random variable appears in various applications, and several examples are known where the distribution of Z∞ is calculated explicitly. Here sufficient conditions for Z∞ to exist are given, and the possibility of finding the distribution of Z∞ by Markov chain Monte Carlo simulation is investigated in detail. Then the same ideas are applied to the present value Z-∞ = ∫0∞ exp{-∫0tRsds}dYt where Y is an integrable Lévy process and R is an ergodic strong Markov process. Numerical examples are given in both cases to show the efficiency of the Monte Carlo methods.

We consider a singularly perturbed (finite state) Markov chain and provide a complete characterization of the fundamental matrix. In particular, we obtain a formula for the regular part simpler than a previous formula obtained by Schweitzer, and the singular part is obtained via a reduction process similar to Delebecque's reduction for the stationary distribution. In contrast to previous approaches, one works with aggregate Markov chains of much smaller dimension than the original chain, an essential feature for practical computation. An application to mean first-passage times is also presented.

For a random closed set X and a compact observation window W the mean coverage fraction of W can be estimated by measuring the area of W covered by X. Jensen and Gundersen, and Baddeley and Cruz-Orive described cases where a point counting estimator is more efficient than area measurement. We give two other examples, where at first glance unnatural estimators are not only better than the area measurement but by Grenander's Theorem have minimal variance. Whittle's Theorem is used to show that the point counting estimator in the original Jensen-Gundersen paradox is optimal for large randomly translated discs.

A well-known result on the distribution tail of the maximum of a random walk with heavy-tailed increments is extended to more general stochastic processes. Results are given in different settings, involving, for example, stationary increments and regeneration. Several examples and counterexamples illustrate that the conditions of the theorems can easily be verified in practice and are in part necessary. The examples include superimposed renewal processes, Markovian arrival processes, semi-Markov input and Cox processes with piecewise constant intensities.

Previous study of the time to a common ancestor of all present-day individuals has focused on models in which each individual has just one parent in the previous generation. For example, ‘mitochondrial Eve’ is the most recent common ancestor (MRCA) when ancestry is defined only through maternal lines. In the standard Wright-Fisher model with population size n, the expected number of generations to the MRCA is about 2n, and the standard deviation of this time is also of order n. Here we study a two-parent analog of the Wright-Fisher model that defines ancestry using both parents. In this model, if the population size n is large, the number of generations, 𝒯n, back to a MRCA has a distribution that is concentrated around lgn (where lg denotes base-2 logarithm), in the sense that the ratio 𝒯n(lgn) converges in probability to 1 as n→∞. Also, continuing to trace back further into the past, at about 1.77 lgn generations before the present, all partial ancestry of the current population ends, in the following sense: with high probability for large n, in each generation at least 1.77lgn generations before the present, all individuals who have any descendants among the present-day individuals are actually ancestors of all present-day individuals.

In this paper we study the supremum distribution of a class of Gaussian processes having stationary increments and negative drift using key results from Extreme Value Theory. We focus on deriving an asymptotic upper bound to the tail of the supremum distribution of such processes. Our bound is valid for both discrete- and continuous-time processes. We discuss the importance of the bound, its applicability to queueing problems, and show numerical examples to illustrate its performance.

A general analytic scheme for Poisson approximation to discrete distributions is studied in which the asymptotic behaviours of the generalized total variation, Fortet-Mourier (or Wasserstein), Kolmogorov and Matusita (or Hellinger) distances are explicitly characterized. Applications of this result include many number-theoretic functions and combinatorial structures. Our approach differs from most of the existing ones in the literature and is easily amended for other discrete approximations; arithmetic and combinatorial examples for Bessel approximation are also presented. A unified approach is developed for deriving uniform estimates for probability generating functions of the number of components in general decomposable combinatorial structures, with or without analytic continuation outside their circles of convergence.

By using Chibisov-O'Reilly type theorems for uniform empirical and quantile processes based on stationary observations, we establish a weak approximation theory for empirical Lorenz curves and their inverses used in economics. In particular, we obtain weak approximations for empirical Lorenz curves and their inverses also under the assumptions of mixing dependence, often used structures of dependence for observations.

In this paper, we are concerned with preservation properties of first and second order by an operator L representable in terms of a stochastic process Z with non-decreasing right-continuous paths. We introduce the derived operator D of L and the derived process V of Z in order to characterize the preservation of absolute continuity and convexity. To obtain different characterizations of the preservation of convexity, we introduce two kinds of duality, the first referring to the process Z and the second to the derived process V. We illustrate the preceding results by considering some examples of interest both in probability and in approximation theory - namely, mixtures, centred subordinators, Bernstein polynomials and beta operators. In most of them, we find bidensities to describe the duality between the derived processes. A unified approach based on stochastic orders is given.

In a cubic multigraph certain restrictions on the paths are made to define what is called a railway. On the tracks in the railway (edges in the multigraph) an equivalence relation is defined. The number of equivalence classes induced by this relation is investigated for a random railway achieved from a random cubic multigraph, and the asymptotic distribution of this number is derived as the number of vertices tends to infinity.

In this paper a central limit theorem is proved for wave-functionals defined as the sums of wave amplitudes observed in sample paths of stationary continuously differentiable Gaussian processes. Examples illustrating this theory are given.