Note on rejection sampling and exact sampling with the Metropolised independence sampler
This short note shows a close relationship between standard rejection sampling and exact sampling by coupling from the past applied to a Metropolised independence sampler. Little background is assumed, but [1] provides a clear review of all required material. I now know that this idea, first presented as a ten-minute tea-time talk, is probably a duplicate of an unavailable work [3], and is closely related to a paper by Jun S. Liu [2], who provides a much more detailed analysis. Perhaps this exposition will be of interest to some readers.