This exercise is regarding the Markovian properties of the Gibbs sampler for the special case described above

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This exercise is regarding the Markovian properties of the Gibbs sampler for the special case described above (15.5).

(i) Show that Yt is a Markov chain and derive its transition kernel.

(ii) Show that Zt = (Xt, Yt )

 is a Markov chain with the transition kernel (15.7).

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