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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