Let X be a random variable on (0, 1) whose density is f(x). Show that we can
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Let X be a random variable on (0, 1) whose density is f(x). Show that we can estimate f10g(x)dx 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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