Exercise 3 For the computation of the expectation Ef[h(x)] when f is the normal pdf and h(x) - ex...
Exercise 3 For the computation of the expectation Ef[h(x)] when f is the normal pdf and h(x) - exp A. Show that Ef[h(x)] can be computed in closed form and derive its value. ( 2p) + exp (-(xur) -(x-2)2 (x-4)2 Construct a regular Monte Carlo approximation based on a normal N (0,1) sample of size Nsim-10A4 and produce an error evaluation. Compare the above with an importance sampling approximation based on an importance function g corresponding to the U(-6 - 1) distribution and a sample of size Nsim-10A4 (Warning: This choice of g does not provide a onverging approximation of Ef[h(x)]!) B. C.
Exercise 3 For the computation of the expectation Ef[h(x)] when f is the normal pdf and h(x) - exp A. Show that Ef[h(x)] can be computed in closed form and derive its value. ( 2p) + exp (-(xur) -(x-2)2 (x-4)2 Construct a regular Monte Carlo approximation based on a normal N (0,1) sample of size Nsim-10A4 and produce an error evaluation. Compare the above with an importance sampling approximation based on an importance function g corresponding to the U(-6 - 1) distribution and a sample of size Nsim-10A4 (Warning: This choice of g does not provide a onverging approximation of Ef[h(x)]!) B. C.