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Monte Carlo Methods

Опубликовано на портале: 11-01-2003
Факультет: Statistics
Дисциплина: Statistics
Год: fall 2002
Язык: Английский
Тематические разделы: Экономика, Эконометрика

Aннотация:
Monte Carlo methods are used in many application areas, including: finance, bioinformatics, computer graphics, discrete event simulation, physics, and statistical inference.



This course covers Monte Carlo and related methods with an applied orientation, using examples from areas such as physics, finance, graphics, machine learning, operations research, and statistics. Students will learn how to: generate random variables, vectors and processes; incorporate variance reduction methods; sample complicated objects more efficiently; apply quasi-Monte Carlo sampling; and, use Markov chain Monte Carlo.


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См. также:
Peter A.W. Lewis
Annals of Mathematical Statistics. 1961.  Vol. 32. P. 1118-1124. 
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Whitney K. Newey, Kenneth D. West
The Review of Economic Studies. 1994.  Vol. 61. No. 4. P. 631-653. 
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Phelim P. Boyle, Mark Broadie, Paul Glasserman
Journal of Economic Dynamics and Control. 1997.  Vol. 21. No. 8-9. P. 1267-1321 . 
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Helmut Herwartz
Economics Working Papers of Department of Economics and Business, Universitat Pompeu Fabra. 2007.  No. 2007-09.
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Phelim P. Boyle
Journal of Financial Economics. 1977.  Vol. 4. No. 3. P. 323-338 . 
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