= Proposal-budget variance comparison of importance and rejection sampling
At equal proposal count, compare $\int\phi^2f^2/g-\theta^2$ for unnormalized importance sampling with $M(\int\phi^2f-\theta^2)$ for the accepted-sample mean. There is no universal ordering for nonzero target mean. For zero mean, the bounded-weight inequality gives importance sampling no larger asymptotic variance. Empty rejected samples and per-proposal computational cost are separate considerations.
Back to article page
