Past exam of the mathematics course of the University of Cambridge 2016 iii Paper 208 6 c Solution Created 2026-10-03 Updated 2026-10-06
For coordinate , keep the other coordinates fixed and propose from the full conditional . This is a Metropolis–Hastings algorithm proposal on that coordinate fibre, with deterministic equality . Its acceptance ratio isThus the coordinate update has acceptance probability one and is exactly a single-coordinate Gibbs sampler update.
A systematic sweep through coordinates is the composition of these kernels. Its joint transition density isThe already updated coordinates are new values, and the not-yet-updated coordinates are old values. Each coordinate kernel preserves , so their composition also preserves it. Systematic Gibbs sampling need not be reversible: each individual coordinate kernel is reversible, but their ordered composition need not be reversible; invariance is the property needed here. A random-scan mixture of the coordinate kernels is reversible.