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Automatic Nonuniform Random Variate Generation (Statistics and Computing) - Tapa blanda

Libro 30 de 37: Statistics and Computing

Hörmann, Wolfgang; Leydold, Josef; Derflinger, Gerhard

 
9783642073724: Automatic Nonuniform Random Variate Generation (Statistics and Computing)
Tapa blanda
ISBN 10: 3642073727 ISBN 13: 9783642073724
Editorial: Springer, 2011

Sinopsis

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.

"Sinopsis" puede pertenecer a otra edición de este libro.

De la contraportada

Non-uniform random variate generation is an established research area in the intersection of mathematics, statistics and computer science. Although random variate generation with popular standard distributions have become part of every course on discrete event simulation and on Monte Carlo methods, the recent concept of universal (also called automatic or black-box) random variate generation can only be found dispersed in literature. This new concept has great practical advantages that are little known to most simulation practitioners. 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.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
Springer
Año de publicación
2011
Idioma
Inglés
ISBN 10 
3642073727
ISBN 13 
9783642073724
Encuadernación
Tapa blanda
Número de páginas
441
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