A bernoulli random variable equal to 1

Reference no: EM131355487

Given that IX_i≤t is a Bernoulli random variable equal to 1 with probability Φ(t), show that the variance of the normalized estimator I_Xi≤t/Φ(t) goes to infinity when t decreases to -∞.

Deduce the number of simulations (as a function of t) that are necessary to achieve a variance less than 10-8.

Reference no: EM131355487

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