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Thread: monte carlo method

  1. March 4th 2010, 01:52 PM #1
    brogers
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    monte carlo method

    I(f)=\int_{a}^{b}=f(x)dx
    g is a density function on [a, b]. X_{1}, X_{2},... X_{n} are generated by \hat{I}(f)=\frac{1}{n} \sum{\frac{f(X)}{g(X)}}.
    How do I get Var(\hat{I}(f))?
    Last edited by brogers; March 7th 2010 at 01:55 PM.
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