Wolfgang Hörmann,
Josef Leydold,
Gerhard Derflinger
Automatic Nonuniform Random Variate Generation
Gebonden Engels 2003 2004e druk 9783540406525Levertijd ongeveer 9 werkdagen
Gratis verzonden
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
ISBN13:9783540406525
Taal:Engels
Bindwijze:gebonden
Aantal pagina's:441
Uitgever:Springer Berlin Heidelberg
Druk:2004
Serie:Statistics and Computing
Lezersrecensies
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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.
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