Automatic Nonuniform Random Variate Generation (Statistics and Computing) - Softcover

Buch 30 von 37: Statistics and Computing

Hörmann, Wolfgang; Leydold, Josef; Derflinger, Gerhard

 
9783642073724: Automatic Nonuniform Random Variate Generation (Statistics and Computing)
Softcover
ISBN 10: 3642073727 ISBN 13: 9783642073724
Verlag: Springer, 2011

Inhaltsangabe

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.

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Verlag
Springer
Erscheinungsdatum
2011
Sprache
Englisch
ISBN 10 
3642073727
ISBN 13 
9783642073724
Einband
Taschenbuch
Anzahl der Seiten
452
Kontakt zum Hersteller
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Poststr. 9
Darmstadt
64293
Deutschland

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ISBN 10:  3540406522 ISBN 13:  9783540406525
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Hardcover