EBK FIRST COURSE IN PROBABILITY, A
EBK FIRST COURSE IN PROBABILITY, A
10th Edition
ISBN: 9780134753683
Author: Ross
Publisher: VST
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Chapter 10, Problem 10.16P

Let X be a random variable on (0, 1) whose density is f(x). Show that we can estimate 0 1 g ( x ) d x by simulating X and then taking g ( X ) f ( X ) as our estimate. This method, called importance sampling, tries to choose f similar in shape to g, so that g ( X ) f ( X ) has a small variance.

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