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Characterizations, stochastic equations, and the Gibbs sampler

Part of: Stochastic analysis Markov processes

Published online by Cambridge University Press:  14 July 2016

Stephen Walker  and
Paul Damien
Stephen Walker*
Affiliation:
Imperial College, London
Paul Damien*
Affiliation:
University of Michigan
*
∗Postal address: Department of Mathematics, Imperial College, 180 Queen's Gate, London SW7 2BZ, UK. Email address: s.walker@ma.ic.ac.uk.
∗∗Postal address: Department of Statistics and Management Science, School of Business, University of Michigan, Ann Arbor, 48109–1234, MI.
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Abstract

We obtain characterizations of densities on the real line and provide solutions to stochastic equations using the Gibbs sampler. Particular stochastic equations considered are of the type X =dB(X+C) and X =dBX+C.

Keywords

Irreducible Markov chainsconditional density

MSC classification

Primary: 60H99: None of the above, but in this section
Secondary: 60J27: Continuous-time Markov processes on discrete state spaces
Type
Research Papers
Information
Journal of Applied Probability , Volume 36 , Issue 3 , September 1999 , pp. 747 - 751
Copyright
Copyright © Applied Probability Trust 1999 

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References

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