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Motmot
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Variance of importance sampling estimator

In general terms my estimator is $\sum_{i=1}^n {\omega_i * xi \over \sum _{i=1}^n {\omega_i}}$ where $xi$ are realizations of the instrumental r.v., $wi$ its corresponding importance weighs and $n$ is the sample size.

What is the variance of this estimator?

Motmot
  • 135
  • 13