I have gone through quite a few papers but they all fail to give me the intuition. So i posted here : http://stackoverflow.com/questions/22060675/r-monte-carlo-integration-using-importance-sampling/22064557?noredirect=1#22064557 and here (CrossValidated): http://stats.stackexchange.com/questions/88241/importance-sampling-mc-a-couple-of-questions-regarding-pdf?noredirect=1#comment172527_88241 Very grateful if statisticians could look into both these threads and help me clear my doubts. -- Regards and Cheers, Pooja Voladoddi +91-90351 93110 [[alternative HTML version deleted]]