Show that in importance sampling the choice minimizes w(x) even in cases where f(x) is not of

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Show that in importance sampling the choice

$p(x) = |f(x)|q(x) \ () \q () d$

minimizes w(x) even in cases where f(x) is not of constant sign.

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Bayesian Statistics An Introduction

ISBN: 9781118332573

4th Edition

Authors: Peter M. Lee

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Question Posted: Nov 28, 2023 05:21 AM

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Show that in importance sampling the choice minimizes w(x) even in cases where f(x) is not of

Question:

p(x) = |f(x)|q(x) ƒ\ƒ (§) \q (§) d

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Your question seems to be about explaining why the given choice of a sampling distribution px minimizes the weight function wx in an importance sampli...View the full answer

Bayesian Statistics An Introduction

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