Solution

ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2009/s/s2/d/solution

A fixed proposal-count budget does not bias the accepted values. For each trial, acceptance has probability , and conditional on acceptance its label has law independently of the other trials. Conditional on the full accept/reject pattern among the first proposals, the successful labels are independent with common law . Therefore , and conditional on , the retained samples are independent draws from . When there is simply no sample. This concerns a budget fixed independently of the proposal values; it does not assert that an empirical average is defined on an empty output.

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