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My question is about Importance Sampling. I am trying to apply a complex sampling method, which combine two sampling techniques. To do this, the importance sampling is used ONLY to divide the probability distribution into two main parts: Part 1: from 0 to p*, and Part 2: from p* to 1. Then, the method continues with the application of stratified sampling.

I would appreciate if someone can help me or explain me Importance Sampling.... how to use this technique only to divide the probability? How to know which is the p* value, where the distribution should be divided?

I really appreciate your help....Any information will helpful.

I found in internet the following text:

"Importance Sampling attempts to do more samples at the areas of the function that are more

important. The way it does this is by bringing in a probability distribution function (pdf). All this is, is a function that attempts to say which areas of the function in the interval should get more samples. It does this by having a higher probability in that area."

Does this mean that p* is the CDF value that corresponds to the largest PDF value? .... I don't know, I am confused.