Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2015/iii/paper-37/5/d/3/i/solution

For the Random-scan Gibbs sampler, the correct transition kernel is a measure, since a one-coordinate update is singular with respect to full-dimensional Lebesgue measure when . Write for all coordinates except . Then
Each Dirac measure fixes an unupdated coordinate. Equivalently, , with placed in coordinate . Replacing this kernel by an ordinary density on the whole product space would omit those fixed-coordinate constraints.

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