Question: *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

*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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