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Quasi Importance Sampling

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There arise two problems when the expectation of some function with respect to a nonuniform multivariate distribution has to be computed by (quasi-) Monte Carlo integration: the integrand can have singularities when the domain of the distribution is unbounded and it can be very expensive or even impossible to sample points from a general multivariate distribution. We show that importance sampling is a simple method to overcome both problems. (author's abstract) ; Series: Preprint Series / Department of Applied Statistics and Data Processing

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Wolfgang Hörmann, Josef Leydold

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