Past exam of the mathematics course of the University of Cambridge / 2018 / iii / Paper 219 / 2 / v / Solution

Let $\pi$ be the normalized density $\tilde{\pi }$ in the transformed coordinates of (iv). Its fixed Gaussian increment gives a symmetric proposal distribution: $q({\theta }^{\prime }\mid \theta )=q(\theta \mid {\theta }^{\prime })$. For distinct states, the accepted transition density is $K(\theta ,{\theta }^{\prime })=q({\theta }^{\prime }\mid \theta )\alpha (\theta ,{\theta }^{\prime })$, where $\alpha =\min \{1,\pi ({\theta }^{\prime })/\pi (\theta )\}$. ThenThe rejection probability gives a mass on the diagonal, which trivially satisfies the same balance identity. Thus $\boxed{\pi (d\theta )K(\theta ,d{\theta }^{\prime })=\pi (d{\theta }^{\prime })K({\theta }^{\prime },d\theta )}$, the detailed balance condition, and integrating it proves invariance of the target.

The transformed density includes its Jacobian, so mapping back preserves the desired posterior law. Warmup adaptation is excluded from this fixed-kernel proof. Independent augmentation with $H_0$ is itself a reversible conditional update; alternatively the original joint augmented space can be sampled directly. This is the Metropolis–Hastings algorithm balance argument.