  The variance reduction established by importance sampling strongly depends on
the choice of the importance sampling distribution. A good choice is often hard
to achieve especially for high-dimensional integration problems. Nonparametric
estimation of the optimal importance sampling distribution (known as
nonparametric importance sampling) is a reasonable alternative to parametric
approaches.In this article nonparametric variants of both the self-normalized
and the unnormalized importance sampling estimator are proposed and
investigated. A common critique on nonparametric importance sampling is the
increased computational burden compared to parametric methods. We solve this
problem to a large degree by utilizing the linear blend frequency polygon
estimator instead of a kernel estimator. Mean square error convergence
properties are investigated leading to recommendations for the efficient
application of nonparametric importance sampling. Particularly, we show that
nonparametric importance sampling asymptotically attains optimal importance
sampling variance. The efficiency of nonparametric importance sampling
algorithms heavily relies on the computational efficiency of the employed
nonparametric estimator. The linear blend frequency polygon outperforms kernel
estimators in terms of certain criteria such as efficient sampling and
evaluation. Furthermore, it is compatible with the inversion method for sample
generation. This allows to combine our algorithms with other variance reduction
techniques such as stratified sampling. Empirical evidence for the usefulness
of the suggested algorithms is obtained by means of three benchmark integration
problems. As an application we estimate the distribution of the queue length of
a spam filter queueing system based on real data.
