Automatic nonuniform random variate generation / Wolfgang Hörmann; Josef Leydold; Gerhard Derflinger

Von:

Hörmann, Wolfgang [aut]

Mitwirkende(r):

Resource type: Ressourcentyp: BuchBuchSprache: Englisch Reihen: Statistics and computingVerlag: Berlin ; Heidelberg [u.a.] : Springer, 2004Beschreibung: X, 441 S. : graph. DarstISBN:

3540406522

Schlagwörter:

DDC-Klassifikation:

519.2

MSC: MSC: *65C10 | 65-02 | 65C60 | 62M10 | 65C05 | 65C40 | 60J22 | 91G60 | 62C10RVK: RVK: SK 840 | SK 820LOC-Klassifikation:

QA273

Zusammenfassung: 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 pracitioners. 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. TOC:General Principles in Random Variate Generation.- Transformed Density Rejection (TDR).- Strip Methods.- Methods Based on General Inequalities.- Numerical Inversion.- Empirical Comparison of Methods for Continous Distributions.- Distributions where the Density is not known explicitly.- Discrete Distributions.- Multivariate Distributions.- Combination of Generation and Modeling.- Time Series.- Markov Chain Monte Carlo Methods.- Some Simulation ExamplesCall number: Grundsignatur: 2004 A 5594PPN: PPN: 368052184

Exemplare ( 2 )

Exemplare
Medientyp	Heimatbibliothek	Sammlung	Standort	Signatur	Status	Barcode
Freihandbestand ausleihbar	Bibliothek Campus Süd	math 8.16	Lesesaal Technik (LST)	2004 A 5594	Verfügbar	46496553090
Freihandbestand ausleihbar	Fachbibliothek Mathematik		Bibliothek / frei aufgestellt	Stoch. / Hör	Verfügbar	36328656090

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