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Answers for “$P(X>\gamma)$ 的最终重要性采样估计量是什么?”

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The parameters of the Normal proposal distribution are chosen using maximum likelihood estimation. The mean μ\mu is set to the sample mean of the retained g∗g^* samples, and the standard deviation σ\sigma is set to the square root of the sample second central moment of those samples.

Conditions: The proposal family is restricted to Normal distributions.; The data used for fitting are the retained samples satisfying X>γX>\gamma.

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The confidence interval is constructed as a symmetric interval around the point estimate. The half-width is calculated by multiplying 1.96 by the sample standard deviation of the weighted estimator array, and then dividing by the square root of the number of proposal samples.

Conditions: Uses the sample standard deviation of the weighted estimates.; The interval is presented as a numerical summary based on a normal approximation.