Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2002/iii/paper-40/2/b/ii/solution

For , . Thus the unnormalized integral is and the multiplicative normalization is :
Although this proposal does not cover the whole Cauchy distribution probability support, it covers the entire nonzero integrand , which is the required support condition for importance sampling.

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