full screen
Home > Business & Economics > Finance & accounting > Accounting > Independent Random Sampling Methods
Independent Random Sampling Methods

Independent Random Sampling Methods


     0     
5
4
3
2
1



International Edition


About the Book

1 Introduction 11.1 The Monte Carlo method: a brief history . . . . . . . . . . . . 21.2 The need for Monte Carlo . . . . . . . . . . . . . . . . . . . . 41.2.1 Numerical integration . . . . . . . . . . . . . . . . . . . 51.2.2 Importance sampling . . . . . . . . . . . . . . . . . . . 71.2.3 Quasi Monte Carlo . . . . . . . . . . . . . . . . . . . . 91.2.4 Inverse Monte Carlo . . . . . . . . . . . . . . . . . . . 91.3 Random number generation . . . . . . . . . . . . . . . . . . . 101.3.1 Random, pseudo-random, quasi-random . . . . . . . . 111.4 Pseudo-random number generators . . . . . . . . . . . . . . . 131.4.1 Nonlinear recursions . . . . . . . . . . . . . . . . . . . 131.4.2 Chaotic pseudo-random number generators . . . . . . . 151.4.3 The middle-square generator . . . . . . . . . . . . . . . 171.4.4 Linear congruential generators . . . . . . . . . . . . . . 171.5 Random sampling methods . . . . . . . . . . . . . . . . . . . . 191.5.1 Direct methods . . . . . . . . . . . . . . . . . . . . . . 191.5.2 Accept/reject methods . . . . . . . . . . . . . . . . . . 201.5.3 Markov Chain Monte Carlo (MCMC) . . . . . . . . . . 211.5.4 Importance Sampling . . . . . . . . . . . . . . . . . . . 211.5.5 Hybrid techniques . . . . . . . . . . . . . . . . . . . . . 221.6 Goal and organization of this book . . . . . . . . . . . . . . . 221.6.1 Motivation and Goals . . . . . . . . . . . . . . . . . . . 221.6.2 Organization of the Book . . . . . . . . . . . . . . . . . 23References 252 Direct methods 372.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . 372.2 Notation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 392.2.1 Vectors, points and intervals . . . . . . . . . . . . . . . 392.2.2 Random variables, distributions and densities . . . . . 392.2.3 Sets . . . . . . . . . . . . . . . . . . . . . . . . . . . . 402.3 Transformations of random variables . . . . . . . . . . . . . . 402.3.1 One-to-one transformations . . . . . . . . . . . . . . . 402.3.2 Many-to-one transformations . . . . . . . . . . . . . . 442.3.3 Deconvolution method . . . . . . . . . . . . . . . . . . 482.3.4 Discrete mixtures . . . . . . . . . . . . . . . . . . . . . 492.3.5 Continuous mixtures: marginalization . . . . . . . . . . 502.3.6 Order statistics . . . . . . . . . . . . . . . . . . . . . . 512.4 Universal direct methods . . . . . . . . . . . . . . . . . . . . . 532.4.1 Inversion method . . . . . . . . . . . . . . . . . . . . . 532.4.2 Vertical density representation (VDR) . . . . . . . . . 572.4.3 The fundamental theorem of simulation . . . . . . . . . 622.4.4 Inverse-of-density method . . . . . . . . . . . . . . . . 632.5 Tailored techniques . . . . . . . . . . . . . . . . . . . . . . . . 672.5.1 Recursive methods . . . . . . . . . . . . . . . . . . . . 672.5.2 Convex Densities . . . . . . . . . . . . . . . . . . . . . 692.6 Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 702.6.1 Multiplication of independent uniform random variates 702.6.2 Sum of independent uniform random variates . . . . . 732.6.3 Polynomial densities with non-negative coefficients . . 732.6.4 Polynomial densities with one or more negative constants 742.7 Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 753 Accept-Reject methods 813.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . 813.2 Rejection sampling . . . . . . . . .
About the Author:

Luca Martino is currently a research fellow at the University of Valencia, Spain, after having held positions at the Carlos III University of Madrid, Spain, the University of Helsinki, Finland and the University of São Paulo, Brazil. His research interests are in the fields of statistical signal processing and computational statistics, especially in connection with Bayesian analysis and Monte Carlo approximation methods.

David Luengo is an Associate Professor at the Technical University of Madrid, Spain. His research interests are in the broad fields of statistical signal processing and machine learning, especially Bayesian learning and inference, Gaussian processes, Monte Carlo algorithms, sparse signal processing and Bayesian non-parametrics. Dr. Luengo has co-authored over 70 research papers, which were published in international journals and conference volumes.

Joaquín Míguez is an Associate Professor at the Carlos III University of Madrid, Spain. His interests are in the fields of applied probability, computational statistics, dynamical systems and the theory and applications of the Monte Carlo methods. Having published extensively and lectured internationally on his research, he was a co-recipient of the IEEE Signal Processing Magazine Best Paper Award in 2007.


Best Sellers



Product Details
  • ISBN-13: 9783030102418
  • Publisher: Springer Nature Switzerland AG
  • Binding: Paperback
  • Language: English
  • Returnable: N
  • Spine Width: 16 mm
  • Width: 156 mm
  • ISBN-10: 3030102416
  • Publisher Date: 09 Feb 2019
  • Height: 234 mm
  • No of Pages: 280
  • Series Title: Statistics and Computing
  • Weight: 467 gr


Similar Products

Add Photo
Add Photo

Customer Reviews

REVIEWS      0     
Click Here To Be The First to Review this Product
Independent Random Sampling Methods
Springer Nature Switzerland AG -
Independent Random Sampling Methods
Writing guidlines
We want to publish your review, so please:
  • keep your review on the product. Review's that defame author's character will be rejected.
  • Keep your review focused on the product.
  • Avoid writing about customer service. contact us instead if you have issue requiring immediate attention.
  • Refrain from mentioning competitors or the specific price you paid for the product.
  • Do not include any personally identifiable information, such as full names.

Independent Random Sampling Methods

Required fields are marked with *

Review Title*
Review
    Add Photo Add up to 6 photos
    Would you recommend this product to a friend?
    Tag this Book Read more
    Does your review contain spoilers?
    What type of reader best describes you?
    I agree to the terms & conditions
    You may receive emails regarding this submission. Any emails will include the ability to opt-out of future communications.

    CUSTOMER RATINGS AND REVIEWS AND QUESTIONS AND ANSWERS TERMS OF USE

    These Terms of Use govern your conduct associated with the Customer Ratings and Reviews and/or Questions and Answers service offered by Booksbay (the "CRR Service").


    By submitting any content to Booksbay, you guarantee that:
    • You are the sole author and owner of the intellectual property rights in the content;
    • All "moral rights" that you may have in such content have been voluntarily waived by you;
    • All content that you post is accurate;
    • You are at least 13 years old;
    • Use of the content you supply does not violate these Terms of Use and will not cause injury to any person or entity.
    You further agree that you may not submit any content:
    • That is known by you to be false, inaccurate or misleading;
    • That infringes any third party's copyright, patent, trademark, trade secret or other proprietary rights or rights of publicity or privacy;
    • That violates any law, statute, ordinance or regulation (including, but not limited to, those governing, consumer protection, unfair competition, anti-discrimination or false advertising);
    • That is, or may reasonably be considered to be, defamatory, libelous, hateful, racially or religiously biased or offensive, unlawfully threatening or unlawfully harassing to any individual, partnership or corporation;
    • For which you were compensated or granted any consideration by any unapproved third party;
    • That includes any information that references other websites, addresses, email addresses, contact information or phone numbers;
    • That contains any computer viruses, worms or other potentially damaging computer programs or files.
    You agree to indemnify and hold Booksbay (and its officers, directors, agents, subsidiaries, joint ventures, employees and third-party service providers, including but not limited to Bazaarvoice, Inc.), harmless from all claims, demands, and damages (actual and consequential) of every kind and nature, known and unknown including reasonable attorneys' fees, arising out of a breach of your representations and warranties set forth above, or your violation of any law or the rights of a third party.


    For any content that you submit, you grant Booksbay a perpetual, irrevocable, royalty-free, transferable right and license to use, copy, modify, delete in its entirety, adapt, publish, translate, create derivative works from and/or sell, transfer, and/or distribute such content and/or incorporate such content into any form, medium or technology throughout the world without compensation to you. Additionally,  Booksbay may transfer or share any personal information that you submit with its third-party service providers, including but not limited to Bazaarvoice, Inc. in accordance with  Privacy Policy


    All content that you submit may be used at Booksbay's sole discretion. Booksbay reserves the right to change, condense, withhold publication, remove or delete any content on Booksbay's website that Booksbay deems, in its sole discretion, to violate the content guidelines or any other provision of these Terms of Use.  Booksbay does not guarantee that you will have any recourse through Booksbay to edit or delete any content you have submitted. Ratings and written comments are generally posted within two to four business days. However, Booksbay reserves the right to remove or to refuse to post any submission to the extent authorized by law. You acknowledge that you, not Booksbay, are responsible for the contents of your submission. None of the content that you submit shall be subject to any obligation of confidence on the part of Booksbay, its agents, subsidiaries, affiliates, partners or third party service providers (including but not limited to Bazaarvoice, Inc.)and their respective directors, officers and employees.

    Accept

    New Arrivals



    Inspired by your browsing history


    Your review has been submitted!

    You've already reviewed this product!