To estimate the integral I = t ( x ) g ( x ) d x

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To estimate the integral I=t(x)g(x)dx by Monte Carlo, the sum I^=N1 t(xi)g(xi)/p(xi) is used, where xi are draws from the importance sampling distribution p(x). Show that plim I^=1.

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Microeconometrics Methods And Applications

ISBN: 9780521848053

1st Edition

Authors: A.Colin Cameron, Pravin K. Trivedi

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