I'm currently stuck on a problem that I can't seem to get my head around. Here it is:
Let X,Y~N(0,1) be independent.
Explain how importnace sampling, with samples from X1~N(mux,1) and Y1~N(muy,1), can be used to estimate the probability p(c)= P(XY>=c, X>=0). Discuss how mux and muy should be chosen in order for the importance sampling method to be efficeint.
Any help is much appreciated.