*30. Let ^ be a random variable on [0, 1] whose density is f(x). Show that we...

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*30. Let ^ be a random variable on [0, 1] whose density is f(x). Show that we can estimate g(x) dx by simulating X and then taking as our estimate g(X)/f(X). This method, called importance sampling, tries to choose /

similar in shape to g so that g(X)/f(X) has a small variance.

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Introduction To Probability Models

ISBN: 9780125984553

5th Edition

Authors: Sheldon M. Ross

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Question Posted: Aug 31, 2024 12:00 PM

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*30. Let ^ be a random variable on [0, 1] whose density is f(x). Show that we...

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Introduction To Probability Models

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