Wolfgang Hörmann,
Josef Leydold,
Gerhard Derflinger
Springer Berlin Heidelberg
0e druk, 2011
9783642073724
Automatic Nonuniform Random Variate Generation
Specificaties
Paperback, 441 blz.
|
Engels
Springer Berlin Heidelberg |
0e druk, 2011
ISBN13: 9783642073724
Rubricering
Onderdeel van serie
Statistics and Computing
Verwachte levertijd ongeveer 8 werkdagen
Samenvatting
The recent concept of universal (also called automatic or black-box) random variate generation can only be found dispersed in the literature. Being unique in its overall organization, the book covers not only the mathematical and statistical theory but also deals with the implementation of such methods. All algorithms introduced in the book are designed for practical use in simulation and have been coded and made available by the authors. Examples of possible applications of the presented algorithms (including option pricing, VaR and Bayesian statistics) are presented at the end of the book.
Specificaties
ISBN13:9783642073724
Taal:Engels
Bindwijze:paperback
Aantal pagina's:441
Uitgever:Springer Berlin Heidelberg
Druk:0
Serie:Statistics and Computing
Inhoudsopgave
1 Introduction.- 2 General Principles in Random Variate Generation.- 3 General Principles for Discrete Distributions.- 4 Transformed Density Rejection (TDR).- 5 Strip Methods.- 6 Methods Based on General Inequalities.- 7 Numerical Inversion.- 8 Comparison and General Considerations.- 9 Distributions Where the Density Is Not Known Explicitly.- 10 Discrete Distributions.- 11 Multivariate Distributions.- 12 Combination of Generation and Modeling.- 13 Time Series (Authors Michael Hauser and Wolfgang Hörmann).- 14 Markov Chain Monte Carlo Methods.- 15 Some Simulation Examples.- List of Algorithms.- References.- Author index.- Selected Notation.- Subject Index and Glossary.