A Story About Stumbling on the Proof that the M-H Algorithm in Hoff/AFCBSM Works
Introduction Regarding the proof presented in Hoff (2009) and Hoff et al. (2022), Section 10.4.2 “Why does the Metropolis-Hastings algorithm work?”, I encountered a point of confusion, so I decided to write about it to organize my thoughts. Hoff’s Proof Flow In Hoff (2009) and Hoff et al. (2022), the proof explaining why the Markov chain generated by the M-H algorithm can approximate the target distribution \(p_0\) proceeds as follows: ...