Wenjin Mao

  1. A Class Coupler for Perfect Sampling from Continuous Distributions With and Without Atoms.

    Authors: Wenjin Mao, Jem Corcoran
    Subjects: Methodology
    Abstract

    We consider the simulation of distributions that are a mixture of discrete
    and continuous components. We extend a Metropolis-Hastings-based perfect
    sampling algorithm of Corcoran and Tweedie to allow for a broader class of
    transition candidate densities. The resulting algorithm, know as a "class
    coupler", is fast to implement and is applicable to purely discrete or purely
    continuous densities as well. Our work is motivated by the study of a composite
    hypothesis test in a Bayesian setting via posterior simulation and we give
    simulation results for some problems in this area.

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