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OpenStudy (anonymous):
Importance Sampling Question Hi,everyone. I have some question about Importance. On p.13 or time8:22 of http://videolectures.net/prib2010_brunel_fben/, does the equation (6) indicate that the weight value W multiplying by the sample value Xi (under sampling prob of q) is equal to Monte Carlo Simulation sample value Z (under sampling prob of p)? But from the equation above (6), in my opinion, it should be Xi=W*Z, cause Ep(Z)=Eq(W.Z)=Eq(Xi)=average(Xi). Is there something wrong with my derivation of equation? And any one knows some nice webs about statistic analysis? Thanks for any suggestion.
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