An introduction to importance sampling - optimal importance distributions

This video continues the introduction to importance sampling by discussing how the variance of these estimators depends crucially on the choice of importance distribution. This video is part of a lecture course which closely follows the material covered in the book, "A Student's Guide to Bayesian Statistics", published by Sage, which is available to order on Amazon here: https://www.amazon.co.uk/Students-Gui... For more information on all things Bayesian, have a look at: https://ben-lambert.com/bayesian/. The playlist for the lecture course is here:    • A Student's Guide to Bayesian Statistics