Final project: The central limit theorem
Monte Carlo Integration
The method that we have been focussing on using during the blockly and python exercises this week is known as Monte Carlo integration or sometimes importance sampling.
As I eluded to in the exercises this technique is used a wide variety of different fields of mathematics to calculate integrals. In all the exercises, however, we have
only ever used this method to calculate the expectation of a Bernoulli random variable. Try to write a python notebook in which you estimate the value of some ofther
integral by using Monte Carlo sampling. This integral might be the expectation/variance of some particularly complicated random variable or it might be some integral
that is easy to compute analytically. To do this you will need to perform some research online on this particular method. Lastly, note that for whatever integral you
choose to perform ensure that you must provide suitable error bars on the numerical estimate that you obtain by Monte Carlo sampling.
