Importance Sampling - Statistics

3 Importance Sampling when the target density is unnormalized A function is a probability density on the interval I if the function is non-negative and in-tegrates to 1 over I. Therefore for any non-negative function f such that R I f(x)dx = C, the function p(x) = f(x)/C is a density on I; f is referred to as the unnormalized density

Sampling, Probability

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