Random Number Generation and Monte Carlo Methods
James E. Gentle
This book surveys techniques of random number generation and the use of random numbers in Monte Carlo simulation. The book covers basic principles, as well as newer methods such as parallel random number generation, nonlinear congruential generators, quasi Monte Carlo methods, and Markov chain Monte Carlo. The best methods for generating random variates from the standard distributions are presented, but also general techniques useful in more complicated models and in novel settings are described. The emphasis throughout the book is on practical methods that work well in current computing environments. The book includes exercises and can be used as a test or supplementary text for various courses in modern statistics. It could serve as the primary test for a specialized course in statistical computing, or as a supplementary text for a course in computational statistics and other areas of modern statistics that rely on simulation. The book, which covers recent developments in the field, could also serve as a useful reference for practitioners.
Categorie:
Anno:
2003
Edizione:
2nd ed
Casa editrice:
Springer
Lingua:
english
Pagine:
398
ISBN 10:
0387216103
ISBN 13:
9780387216102
Collana:
Statistics and computing
File:
PDF, 2.17 MB
IPFS:
,
english, 2003
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