Question: Let f, g : R -> (0, infinity) be two strictly positive probability density functions. Moreover, let X0, X1, X2, . . . be a

Let f, g : R -> (0, infinity) be two strictly positive probability density functions. Moreover, let X0, X1, X2, . . . be a sequence of i.i.d. random variables with probability density g. Define

Y0 = 1, Yn = (n i=1) (f(Xi)/g(Xi) for all n >= 1

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