Random Number Generation and Monte Carlo Methods

James E. Gentle (Autor)

Buch | Hardcover

XV, 381 Seiten

2003 | 2nd ed. corr. pr.
Springer, Berlin (Verlag)
978-3-540-00178-2 (ISBN)

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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 fiel d, could also serve as a useful reference for practitioners.

From the contents: Simulating Random Numbers from a Uniform Distribution
- Transformations of Uniform Deviates: General Methods
- Simulating Random Numbers from Nonuniform Distributions
- Generation of Random Samples and Permutations
- Monte Carlo Methods
- Quality of Random Number Generators
- Software for Random Number Generation
- Monte Carlo Studies in Statistics
- Appendix A: Notation and Definitions
- Appendix B: Solutions and Hints for Selected Exercises
- Bibliography
- Author Index
- Subject Index

Reihe/Serie	Statistics and Computing
Zusatzinfo	w. 54 figs.
Sprache	englisch
Gewicht	685 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
Schlagworte	Monte-Carlo-Methode • Zufall / Random (Statistik) • Zufall (statist.) • Zufall (Statistik)
ISBN-10	3-540-00178-6 / 3540001786
ISBN-13	978-3-540-00178-2 / 9783540001782
Zustand	Neuware