Past exam of the mathematics course of the University of Cambridge 2015 iii Paper 37 5 c Solution Created 2026-10-03 Updated 2026-10-06
First require a proper target: and . The Metropolis–Hastings algorithm uses the Metropolis–Hastings acceptance probabilitySufficient general conditions are phi-irreducibility, aperiodicity, and a drift-minorisation condition establishing geometric ergodicity of the resulting chain, together with a stationary th moment for the observable being averaged. These imply the central limit theorem for a geometrically ergodic Markov chain. The observable's moment condition must be included: conditions on the sampler alone cannot give the theorem for every arbitrary function.
A concrete stronger condition, directly in terms of the proposal, isTogether with a bounded observable, this is an especially simple sufficient answer. The accepted proposal density is , so it is at least . The kernel satisfies a global minorization condition with the target, hence uniform geometric ergodicity, positive Harris recurrence, and aperiodicity. An independent proposal whose importance weight is uniformly bounded is one example. No claim of these properties follows merely from writing down a positive proposal.