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Importance sampling in mixed, discrete/continuous variables
Consider the following model
$$
X \sim |\mathcal{N}(X;0,1)|
$$
$$
Y|X \sim Q(Y;X)
$$
where I define $Q(Y=-x|X=x)$ with probability mass $\int_{-\infty}^{-x}\mathcal{N}(x;0,1)dx$, $Q(Y=+x|X=x)$ ...
