Principles of Random Variate Generation PDF Download
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Author: John Dagpunar
Publisher: Oxford University Press, USA
ISBN:
Category : Language Arts & Disciplines
Languages : en
Pages : 256
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Book Description
An up-to-date account of the theory and practice of generating random variates from probability distributions is presented in this accessible text. After a brief introduction to simulation, the author discusses the general principles for generating and testing uniform and non-uniform variates. These techniques are applied to univariate and multivariate distributions, Markov processes, and order statistics. Dr. Dagpunar has included Fortran 77 programs for generating the more familiar distributions and a set of graphical aids for the manual generation of variates. Competing methods are also compared and their advantages and disadvantages discussed. In addition, algorithms throughout the book enable readers to generate variates from selected distributions, making this an invaluable guide for statisticians, operational researchers, computer scientists, and postgraduates engaged in computer simulation.
Author: John Dagpunar
Publisher: Oxford University Press, USA
ISBN:
Category : Language Arts & Disciplines
Languages : en
Pages : 256
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Book Description
An up-to-date account of the theory and practice of generating random variates from probability distributions is presented in this accessible text. After a brief introduction to simulation, the author discusses the general principles for generating and testing uniform and non-uniform variates. These techniques are applied to univariate and multivariate distributions, Markov processes, and order statistics. Dr. Dagpunar has included Fortran 77 programs for generating the more familiar distributions and a set of graphical aids for the manual generation of variates. Competing methods are also compared and their advantages and disadvantages discussed. In addition, algorithms throughout the book enable readers to generate variates from selected distributions, making this an invaluable guide for statisticians, operational researchers, computer scientists, and postgraduates engaged in computer simulation.
Author: Wolfgang Hörmann
Publisher: Springer Science & Business Media
ISBN: 3662059460
Category : Mathematics
Languages : en
Pages : 439
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Book Description
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.
Author: Luc Devroye
Publisher: Springer Science & Business Media
ISBN: 1461386438
Category : Mathematics
Languages : en
Pages : 859
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Book Description
Thls text ls about one small fteld on the crossroads of statlstlcs, operatlons research and computer sclence. Statistleians need random number generators to test and compare estlmators before uslng them ln real l fe. In operatlons research, random numbers are a key component ln arge scale slmulatlons. Computer sclen tlsts need randomness ln program testlng, game playlng and comparlsons of algo rlthms. The appl catlons are wlde and varled. Yet all depend upon the same com puter generated random numbers. Usually, the randomness demanded by an appl catlon has some bullt-ln structure: typlcally, one needs more than just a sequence of Independent random blts or Independent uniform 0,1] random vari ables. Some users need random variables wlth unusual densltles, or random com blnatorlal objects wlth speclftc propertles, or random geometrlc objects, or ran dom processes wlth weil deftned dependence structures. Thls ls preclsely the sub ject area of the book, the study of non-uniform random varlates. The plot evolves around the expected complexlty of random varlate genera tlon algorlthms. We set up an ldeal zed computatlonal model (wlthout overdolng lt), we lntroduce the notlon of unlformly bounded expected complexlty, and we study upper and lower bounds for computatlonal complexlty. In short, a touch of computer sclence ls added to the fteld. To keep everythlng abstract, no tlmlngs or computer programs are lncluded. Thls was a Iabor of Iove. George Marsagl a created CS690, a course on ran dom number generat on at the School of Computer Sclence of McG ll Unlverslty."
Author: Kenneth Lange
Publisher: Springer Science & Business Media
ISBN: 1441959440
Category : Business & Economics
Languages : en
Pages : 606
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Book Description
Numerical analysis is the study of computation and its accuracy, stability and often its implementation on a computer. This book focuses on the principles of numerical analysis and is intended to equip those readers who use statistics to craft their own software and to understand the advantages and disadvantages of different numerical methods.
Author: Luca Martino
Publisher: Springer
ISBN: 331972634X
Category : Computers
Languages : en
Pages : 289
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Book Description
This book systematically addresses the design and analysis of efficient techniques for independent random sampling. Both general-purpose approaches, which can be used to generate samples from arbitrary probability distributions, and tailored techniques, designed to efficiently address common real-world practical problems, are introduced and discussed in detail. In turn, the monograph presents fundamental results and methodologies in the field, elaborating and developing them into the latest techniques. The theory and methods are illustrated with a varied collection of examples, which are discussed in detail in the text and supplemented with ready-to-run computer code. The main problem addressed in the book is how to generate independent random samples from an arbitrary probability distribution with the weakest possible constraints or assumptions in a form suitable for practical implementation. The authors review the fundamental results and methods in the field, address the latest methods, and emphasize the links and interplay between ostensibly diverse techniques.
Author: Jerzy A. Seidler
Publisher: Springer
ISBN: 0585279993
Category : Computers
Languages : en
Pages : 488
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Book Description
Information Systems and Data Compression presents a uniform approach and methodology for designing intelligent information systems. A framework for information concepts is introduced for various types of information systems such as communication systems, information storage systems and systems for simplifying structured information. The book introduces several new concepts and presents a novel interpretation of a wide range of topics in communications, information storage, and information compression. Numerous illustrations for designing information systems for compression of digital data and images are used throughout the book.
Author: Ivan Jeliazkov
Publisher: Emerald Group Publishing
ISBN: 1838674217
Category : Business & Economics
Languages : en
Pages : 234
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Book Description
Volume 40B of Advances in Econometrics examines innovations in stochastic frontier analysis, nonparametric and semiparametric modeling and estimation, A/B experiments, big-data analysis, and quantile regression.
Author: Zaven A. Karian
Publisher: CRC Press
ISBN: 9780849339226
Category : Business & Economics
Languages : en
Pages : 558
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Book Description
Modern Statistical, Systems, and GPSS Simulation, Second Edition introduces the theory and implementation of discrete-event simulation. This text: establishes a theoretical basis for simulation methodology provides details of an important simulation language (GPSS - General Purpose Simulation System) integrates these two elements in a systems simulation case study Valuable additions to the second edition include coverage of random number generators with astronomic period, new entropy-based tests of uniformity, gamma variate generation, results on the GLD, and variance reduction techniques. GPSS/PC is an interactive implementation of GPSS for the IBM-PC compatible family of microcomputers. The disk accompanying Modern Statistical, Systems, and GPSS Simulation contains the limited educational version of GPSS/PC with many illustrative examples discussed in the text.
Author: Abdul Hanif Abdul Halim
Publisher: Springer Nature
ISBN: 3031740130
Category :
Languages : en
Pages : 330
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Book Description
Author: Karl-Rudolf Koch
Publisher: Springer Science & Business Media
ISBN: 3540727264
Category : Science
Languages : en
Pages : 258
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Book Description
This book presents Bayes’ theorem, the estimation of unknown parameters, the determination of confidence regions and the derivation of tests of hypotheses for the unknown parameters. It does so in a simple manner that is easy to comprehend. The book compares traditional and Bayesian methods with the rules of probability presented in a logical way allowing an intuitive understanding of random variables and their probability distributions to be formed.
