Prove that if (H(mathbf{x}) geqslant 0) the importance sampling pdf (g^{*}) in (3.22) gives the zero-variance importance

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Prove that if $H(\mathbf{x}) \geqslant 0$ the importance sampling pdf $g^{*}$ in (3.22) gives the zero-variance importance sampling estimator $\widehat{\mu}=\mu$.

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Data Science And Machine Learning Mathematical And Statistical Methods

ISBN: 9781118710852

1st Edition

Authors: Dirk P. Kroese, Thomas Taimre, Radislav Vaisman, Zdravko Botev

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Question Posted: May 19, 2024 02:03 AM

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Prove that if (H(mathbf{x}) geqslant 0) the importance sampling pdf (g^{*}) in (3.22) gives the zero-variance importance

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Data Science And Machine Learning Mathematical And Statistical Methods

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