lemma 7.3

As Xiao-Li Meng accepted to review—and I am quite grateful he managed to fit this review in an already overflowing deanesque schedule!— our 2004 book  Monte Carlo Statistical Methods as part of a special book review issue of CHANCE honouring the memory of George thru his books—thanks to Sam Behseta for suggesting this!—, he sent me the following email about one of our proofs—demonstrating how much efforts he had put into this review!—:

I however have a question about the proof of Lemma 7.3 
on page 273. After the expression of
E[h(x^(1)|x_0], the proof stated "and substitute 
Eh(x) for h(x_1)".  I cannot think of any
justification for this substitution, given the whole 
purpose is to show h(x) is a constant.

I put it on hold for a while and only looked at it in the (long) flight to Chicago. Lemma 7.3 in Monte Carlo Statistical Methods is the result that the Metropolis-Hastings algorithm is Harris recurrent (and not only recurrent). The proof is based on the characterisation of Harris recurrence as having only constants for harmonic functions, i.e. those satisfying the identity

h(x) = \mathbb{E}[h(X_t)|X_{t-1}=x]

The chain being recurrent, the above implies that harmonic functions are almost everywhere constant and the proof steps from almost everywhere to everywhere. The fact that the substitution above—and I also stumbled upon that very subtlety when re-reading the proof in my plane seat!—is valid is due to the fact that it occurs within an integral: despite sounding like using the result to prove the result, the argument is thus valid! Needless to say, we did not invent this (elegant) proof but took it from one of the early works on the theory of Metropolis-Hastings algorithms, presumably Luke Tierney’s foundational Annals paper work that we should have quoted…

As pointed out by Xiao-Li, the proof is also confusing for the use of two notations for the expectation (one of which is indexed by f and the other corresponding to the Markov transition) and for the change in the meaning of f, now the stationary density, when compared with Theorem 6.80.

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