<電子ブック>
Automatic Nonuniform Random Variate Generation / by Wolfgang Hörmann, Josef Leydold, Gerhard Derflinger
(Statistics and Computing. ISSN:21971706)
版 | 1st ed. 2004. |
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出版者 | (Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer) |
出版年 | 2004 |
本文言語 | 英語 |
大きさ | X, 441 p. 89 illus : online resource |
著者標目 | *Hörmann, Wolfgang author Leydold, Josef author Derflinger, Gerhard author SpringerLink (Online service) |
件 名 | LCSH:Mathematics -- Data processing
全ての件名で検索
LCSH:Probabilities LCSH:Computer science -- Mathematics 全ての件名で検索 LCSH:Mathematical statistics -- Data processing 全ての件名で検索 LCSH:Algorithms LCSH:Computer simulation FREE:Computational Mathematics and Numerical Analysis FREE:Probability Theory FREE:Mathematics of Computing FREE:Statistics and Computing FREE:Algorithms FREE:Computer Modelling |
一般注記 | 1 Introduction -- 2 General Principles in Random Variate Generation -- 3 General Principles for Discrete Distributions -- 4 Transformed Density Rejection (TDR) -- 5 Strip Methods -- 6 Methods Based on General Inequalities -- 7 Numerical Inversion -- 8 Comparison and General Considerations -- 9 Distributions Where the Density Is Not Known Explicitly -- 10 Discrete Distributions -- 11 Multivariate Distributions -- 12 Combination of Generation and Modeling -- 13 Time Series (Authors Michael Hauser and Wolfgang Hörmann) -- 14 Markov Chain Monte Carlo Methods -- 15 Some Simulation Examples -- List of Algorithms -- References -- Author index -- Selected Notation -- Subject Index and Glossary 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 practitioners. 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 HTTP:URL=https://doi.org/10.1007/978-3-662-05946-3 |
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電子ブック | 配架場所 | 資料種別 | 巻 次 | 請求記号 | 状 態 | 予約 | コメント | ISBN | 刷 年 | 利用注記 | 指定図書 | 登録番号 |
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電子ブック | オンライン | 電子ブック |
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Springer eBooks | 9783662059463 |
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電子リソース |
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EB00231943 |
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