The zero-variance density g∗ is the conditional distribution of the random variable X given that the rare event X>γ occurs. It is the ideal importance-sampling proposal that would make the estimator have zero variance.
Conditions: The target quantity is the rare-event probability P(X>γ).; g∗ is supported only on the region x>γ.
The zero-variance density g∗ is the conditional distribution of the random variable X given that the rare event X>γ occurs. It is the ideal importance-sampling proposal that would make the estimator have zero variance.
Conditions: The target quantity is the rare-event probability P(X>γ).; g∗ is supported only on the region x>γ.
Rejection sampling is used because g∗ is exactly the conditional distribution of X given X>γ. By drawing many samples from the original standard normal distribution and keeping only those that exceed the threshold γ, the retained samples are distributed according to g∗.
Conditions: Direct sampling from the original distribution X∼Normal(0,1) is possible.; The acceptance rule is Xi>γ.
Rejection sampling is used because g∗ is exactly the conditional distribution of X given X>γ. By drawing many samples from the original standard normal distribution and keeping only those that exceed the threshold γ, the retained samples are distributed according to g∗.
Conditions: Direct sampling from the original distribution X∼Normal(0,1) is possible.; The acceptance rule is Xi>γ.