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Monte Carlo importance sampling for evaluating numerical integration is discussed. We consider a parametric family of sampling distributions and propose the use of the sampling distribution estimated ...

We have previously discussed the importance of estimating uncertainty in our measurements and incorporating it into data analysis 1. To know the extent to which we can generalize our observations, we ...

The Annals of Applied Probability, Vol. 9, No. 4 (Nov., 1999), pp. 1202-1225 (24 pages) This paper analyzes the performance of importance sampling distributions for computing expectations with respect ...