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A constrained support can make single-site Gibbs reducible

Example

Let the ambient product state space be S={0,1}×{0,1} with its full product sigma-algebra, and let π=12δ(0,0)+12δ(1,1). Its support is the constrained diagonal set E={(0,0),(1,1)}. Each single-site full conditional is the point mass at the retained coordinate, so either coordinate-update kernel restricts to the identity transition matrix on E. The chain on E is reducible under Reducibility of a finite Markov chain.

Facts & Assumptions

Given: The finite state space and target law in the Example.

[F1]

A Gibbs block update retains the other coordinate and draws the updated coordinate from its full conditional. Exact Gibbs block update.

[F2]

A finite chain is reducible when it has a nonempty proper closed subset. Reducibility of a finite Markov chain.

[F3]

A proper full conditional kernel is an everywhere probability kernel satisfying the conditional event identities. Proper full conditional kernel.

[F4]

Measurable rectangles generate the finite product sigma-algebra. The product sigma-algebra and its finite iterates.

Verification

Given: The hypotheses in the Example and facts [F1]–[F3].

1.1F3F4givenconstruct

The coordinate marginals are uniform on {0,1}. For coordinate 1 set K{1}(t,⋅)=δt; for any measurable C⊆S and D⊆{0,1}, π(C∩p2−1(D))=12∑t∈D1C(t,t)=∫DK{1}(t,Ct) π2(dt), where Ct={s:(s,t)∈C}. Exchanging the coordinates gives the same identity for K{2}(t,⋅)=δt. Each section is a probability measure at every conditioning value, and the identities for all C,D prove that these are proper full conditional kernels by [F3].

2.1F1F2step 1.1∎

Starting from either state (t,t)∈E, updating coordinate 1 draws t from K{1}(t,⋅), and updating coordinate 2 draws t from K{2}(t,⋅). Thus both component transition matrices restricted to E are the identity. Each singleton {(0,0)} and {(1,1)} is nonempty, proper, and closed, so [F2] makes the restricted finite chain reducible.

Depends on

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