Question: Recall MH sampling for target distribution p(x) using proposal q(x|y): at states, first draw t ~ q(t|s), then accept t with probability A =

Recall MH sampling for target distribution p(x) using proposal q(x|y): at states,

Recall MH sampling for target distribution p(x) using proposal q(x|y): at states, first draw t ~ q(t|s), then accept t with probability A = min (1. p(t)q(s|t) p(s)q(t|s) where p(x) is the unnormalized target distribution. Show that p(x) is the stationary distribution of the Markov chain defined by this procedure. Consider both continuous and discrete cases.

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