t dist v=1 pdf looks like :

1/[pi * (1+x^2)]

P(X>1000)=integral(1000,infinity, 1/[pi * (1+x^2)])

I am trying to approximate this integral using importance sampling. From what I’ve read it looks like I need to come up with a g1 and g2 proposal distributions…my understanding

]]>I came across your blog after reading about your answers from this question(https://stats.stackexchange.com/questions/22749/how-to-compute-importance-sampling). I am an undergraduate just getting to learn importance sampling and rejection sampling. I am having a very hard time grasping how to construct an importance sampler.

Ex)

Given that X~t dist with v=1, and y=P(X>1000).

I want to know what it means to construct an importance sampler which estimates y. I really want to understand the question but am having a hard time…Any help would be appreciated.

Thanks so much!

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