Automatic Nonuniform Random Variate Generation

Name: Automatic Nonuniform Random Variate Generation
SKU: 2504297
Price: 267.99 AUD
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Statistics and Computing

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Description

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.

Release date Australia

October 23rd, 2003

Author

Audience

Professional & Vocational

Illustrations

89 Illustrations, black and white; X, 441 p. 89 illus.

Pages

441

Series

Statistics and Computing

Dimensions

156x234x25

ISBN-13

9783540406525

Product ID

2504297

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Automatic Nonuniform Random Variate Generation

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