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I have a quick question regarding implementation of Metropolis-Hastings for a particular problem I'm dealing with.

Suppose that I have a probability density function $P(X)$ for a continuous random variable $X$. In Metropolis-Hastings, I am required to compute acceptance probability \frac{ Pr(x') Q(x_{t}|x') } {Pr(x_{t} Q(x' | x)}. However, the probability of any single event in a continuous space is zero. Do I just replace $Pr$ with $P$ and go on my merry way?

My primary concern is that the $P(x)$ is not necessarily less than or equal to 1.

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This is usually the way to convert from discrete probabilities to continuous probabilities. You can think of this as promoting $x$ to an $\epsilon$-neighborhood of itself, whose probability is roughly $\epsilon P(x)$.

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    You can try looking in Machine Learning books.2011-05-17