Abstract
We propose a new estimator for estimating a quantity μ via Monte Carlo simulations, where μ = ∫fdP and P is the target probability measure. The new estimator outperforms the usual accept-reject algorithm in terms of reducing the variance. Properties of the estimator are derived. A new Rao-Blackwellised version of the estimator is also produced, but this version requires enormous computing time. Numerical results are provided.
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