Change of measure
= Change of measure
{wiki}
If a measure $\nu$ has density $w=d\nu/d\mu$ with respect to $\mu$, then
$$
\int g\,d\nu=\int gw\,d\mu.
$$
This identity is the basis of likelihood ratios and <importance sampling>.
= Change of measure
{wiki}
If a measure $\nu$ has density $w=d\nu/d\mu$ with respect to $\mu$, then
$$
\int g\,d\nu=\int gw\,d\mu.
$$
This identity is the basis of likelihood ratios and <importance sampling>.