Stochastic Simulation
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| Format: | eBook |
| Language: | Inglés |
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New York :
Wiley
2009.
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| Edition: | 1st edition |
| Series: | Wiley Series in Probability and Statistics
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| Subjects: | |
| See on Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009628386906719 |
Table of Contents:
- Stochastic Simulation; Contents; 1. Aims of Simulation; 1.1. The Tools; 1.2. Models; 1.3. Simulation as Experimentation; 1.4. Simulation in Inference; 1.5. Examples; 1.6. Literature; 1.7. Convention; Exercises; 2. Pseudo-Random Numbers; 2.1. History and Philosophy; 2.2. Congruential Generators; 2.3. Shift-Register Generators; 2.4. Lattice Structure; 2.5. Shuffing and Testing; 2.6. Conclusions; 2.7. Proofs; Exercises; 3. Random Variables; 3.1. Simple Examples; 3.2. General Principles; 3.3. Discrete Distributions; 3.4. Continuous Distributions; 3.5. Recommendations; Exercises
- 4. Stochastic Models4.1. Order Statistics; 4.2. Multivariate Distributions; 4.3. Poisson Processes and Lifetimes; 4.4. Markov Processes; 4.5. Gaussian Processes; 4.6. Point Processes; 4.7. Metropolis' Method and Random Fields; Exercises; 5. Variance Reduction; 5.1. Monte-Carlo Integration; 5.2. Importance Sampling; 5.3. Control and Antithetic Variates; 5.4. Conditioning; 5.5. Experimental Design; Exercises; 6. Output Analysis; 6.1. The Initial Transient; 6.2. Batching; 6.3. Time-Series Methods; 6.4. Regenerative Simulation; 6.5. A Case Study; Exercises; 7. Uses of Simulation
- 7.1. Statistical Inference7.2. Stochastic Methods in Optimization; 7.3. Systems of Linear Equations; 7.4. Quasi-Monte-Carlo Integration; 7.5. Sharpening Buffon's Needle; Exercises; References; Appendix A. Computer Systems; Appendix B. Computer Programs; B.1. Form a x b mod c; B.2. Check Primitive Roots; B.3. Lattice Constants for Congruential Generators; B.4. Test GFSR Generators; B.5. Normal Variates; B.6. Exponential Variates; B.7. Gamma Variates; B.8. Discrete Distributions; Index
