Articles liés à Automatic Nonuniform Random Variate Generation

Automatic Nonuniform Random Variate Generation - Couverture rigide

Livre 30 sur 37: Statistics and Computing

Hörmann, Wolfgang; Leydold, Josef; Derflinger, Gerhard

 
9783540406525: Automatic Nonuniform Random Variate Generation
Couverture rigide
ISBN 10 : 3540406522 ISBN 13 : 9783540406525
Editeur : Springer-Verlag Berlin and Heidelberg GmbH & Co. K, 2003

Synopsis

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.

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Éditeur
Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Date d'édition
2003
Langue
anglais
ISBN 10 
3540406522
ISBN 13 
9783540406525
Reliure
Relié
Nombre de pages
451
Coordonnées du fabricant
non disponible
Personne responsable
CMN Printpool Inh. Mathis Neumann
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