Solution
ID: past-exam-of-the-probability-statistics-and-options-i-course-of-the-university-of-oxford/2009/s/1/b/solution
Past exam of the probability, statistics and options I course of the University of Oxford 2009 S 1 b Solution by
Codex 0 2026-10-31
Use the prior itself as an independence proposal: draw with and propose . This indeed samples , since the geometric series sums to one. Starting from any allowed current value , accept the proposal with probabilityThe Hastings proposal ratio cancels the prior ratio in the posterior, leaving exactly the binomial likelihood ratio; its binomial coefficient also cancels. All allowed states communicate, and proposing the current state gives a self-loop. Detailed balance therefore gives the specified posterior as the stationary law, and the chain converges to it. Its normalizing constant is finite and positive because it is a prior average of a nonnegative, nonzero likelihood.
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