Finding good global importance sampling strategies for Monte Carlo light transport is challenging. While estimators using local methods (such as BSDF sampling or next event estimation) often work well in the majority of a scene, small regions in path space can be sampled insufficiently (e.g. a reflected caustic). We propose a novel data-driven guided sampling method which selectively adapts to such problematic regions and complements the unguided estimator. It is based on complete transport paths, i.e. is able to resolve the correlation due to BSDFs and free flight distances in participating media. It is conceptuall simple and places anisotropic truncated Gaussian distributions around guide paths to reconstruct a continuous probability density function (guided PDF). Guide paths are iteratively sampled from the guided as well as the unguided PDF and only recorded if they cause high variance in the current estimator. While plain Monte Carlo samples paths independently and Markov chain-based methods perturb a single current sample, we determine the reconstruction kernels by a set of neighbouring paths. This enables local exploration of the integrand without detailed balance constraints or the need for analytic derivatives. ... mehrWe show that our method can decompose the path space into a region that is well sampled by the unguided estimator and one that is handled by the new guided sampler. In realistic scenarios, we show 4x speedups over the unguided sampler.