One-sided normal approximation for a rejection proposal budget
ID: one-sided-normal-approximation-for-a-rejection-proposal-budget
For rejection sampling with acceptance probability , , the accepted count in trials has binomial distribution, mean and variance . To obtain at least acceptances with approximate probability , use the standard normal distribution quantile . The central limit theorem without continuity correction gives . Solving this quadratic inequality in gives the displayed threshold, rounded upward. It exceeds the average stopping cost because it allows for fluctuations in the accepted count. For , the count is deterministic and exactly. Exact coverage uses the binomial distribution tail rather than the approximation.
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