Principles Of Random Variate Generation

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Principles Of Random Variate Generation

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Author : John Dagpunar
language : en
Publisher: Oxford University Press, USA
Release Date : 1988

Principles Of Random Variate Generation written by John Dagpunar and has been published by Oxford University Press, USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with Language Arts & Disciplines categories.

An up-to-date account of the theory and practice of generating random variates from probability distributions is presented in this accessible text. After a brief introduction to simulation, the author discusses the general principles for generating and testing uniform and non-uniform variates. These techniques are applied to univariate and multivariate distributions, Markov processes, and order statistics. Dr. Dagpunar has included Fortran 77 programs for generating the more familiar distributions and a set of graphical aids for the manual generation of variates. Competing methods are also compared and their advantages and disadvantages discussed. In addition, algorithms throughout the book enable readers to generate variates from selected distributions, making this an invaluable guide for statisticians, operational researchers, computer scientists, and postgraduates engaged in computer simulation.

Automatic Nonuniform Random Variate Generation

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Author : Wolfgang Hörmann
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-06-29

Automatic Nonuniform Random Variate Generation written by Wolfgang Hörmann and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-29 with Mathematics categories.

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.

Non Uniform Random Variate Generation

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Author : Luc Devroye
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-11-22

Non Uniform Random Variate Generation written by Luc Devroye and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-11-22 with Mathematics categories.

Thls text ls about one small fteld on the crossroads of statlstlcs, operatlons research and computer sclence. Statistleians need random number generators to test and compare estlmators before uslng them ln real l fe. In operatlons research, random numbers are a key component ln arge scale slmulatlons. Computer sclen tlsts need randomness ln program testlng, game playlng and comparlsons of algo rlthms. The appl catlons are wlde and varled. Yet all depend upon the same com puter generated random numbers. Usually, the randomness demanded by an appl catlon has some bullt-ln structure: typlcally, one needs more than just a sequence of Independent random blts or Independent uniform 0,1] random vari ables. Some users need random variables wlth unusual densltles, or random com blnatorlal objects wlth speclftc propertles, or random geometrlc objects, or ran dom processes wlth weil deftned dependence structures. Thls ls preclsely the sub ject area of the book, the study of non-uniform random varlates. The plot evolves around the expected complexlty of random varlate genera tlon algorlthms. We set up an ldeal zed computatlonal model (wlthout overdolng lt), we lntroduce the notlon of unlformly bounded expected complexlty, and we study upper and lower bounds for computatlonal complexlty. In short, a touch of computer sclence ls added to the fteld. To keep everythlng abstract, no tlmlngs or computer programs are lncluded. Thls was a Iabor of Iove. George Marsagl a created CS690, a course on ran dom number generat on at the School of Computer Sclence of McG ll Unlverslty."

Automatic Nonuniform Random Variate Generation

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Author : Wolfgang Hörmann
language : en
Publisher: Springer Science & Business Media
Release Date : 2004-01-12

Automatic Nonuniform Random Variate Generation written by Wolfgang Hörmann and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-01-12 with Business & Economics categories.

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.

Non Uniform Random Variate Generation

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Author : Luc Devroye
language : en
Publisher:
Release Date : 2003

Non Uniform Random Variate Generation written by Luc Devroye and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Random variables categories.

Independent Random Sampling Methods

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Author : Luca Martino
language : en
Publisher: Springer
Release Date : 2018-03-31

Independent Random Sampling Methods written by Luca Martino and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-03-31 with Computers categories.

This book systematically addresses the design and analysis of efficient techniques for independent random sampling. Both general-purpose approaches, which can be used to generate samples from arbitrary probability distributions, and tailored techniques, designed to efficiently address common real-world practical problems, are introduced and discussed in detail. In turn, the monograph presents fundamental results and methodologies in the field, elaborating and developing them into the latest techniques. The theory and methods are illustrated with a varied collection of examples, which are discussed in detail in the text and supplemented with ready-to-run computer code. The main problem addressed in the book is how to generate independent random samples from an arbitrary probability distribution with the weakest possible constraints or assumptions in a form suitable for practical implementation. The authors review the fundamental results and methods in the field, address the latest methods, and emphasize the links and interplay between ostensibly diverse techniques.

Information Systems And Data Compression

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Author : Jerzy A. Seidler
language : en
Publisher: Springer
Release Date : 2007-08-19

Information Systems And Data Compression written by Jerzy A. Seidler and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-08-19 with Computers categories.

Information Systems and Data Compression presents a uniform approach and methodology for designing intelligent information systems. A framework for information concepts is introduced for various types of information systems such as communication systems, information storage systems and systems for simplifying structured information. The book introduces several new concepts and presents a novel interpretation of a wide range of topics in communications, information storage, and information compression. Numerous illustrations for designing information systems for compression of digital data and images are used throughout the book.

Numerical Analysis For Statisticians

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Author : Kenneth Lange
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-06-15

Numerical Analysis For Statisticians written by Kenneth Lange and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-06-15 with Business & Economics categories.

Numerical analysis is the study of computation and its accuracy, stability and often its implementation on a computer. This book focuses on the principles of numerical analysis and is intended to equip those readers who use statistics to craft their own software and to understand the advantages and disadvantages of different numerical methods.

Topics In Identification Limited Dependent Variables Partial Observability Experimentation And Flexible Modeling

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Author : Ivan Jeliazkov
language : en
Publisher: Emerald Group Publishing
Release Date : 2019-10-18

Topics In Identification Limited Dependent Variables Partial Observability Experimentation And Flexible Modeling written by Ivan Jeliazkov and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-10-18 with Business & Economics categories.

Volume 40B of Advances in Econometrics examines innovations in stochastic frontier analysis, nonparametric and semiparametric modeling and estimation, A/B experiments, big-data analysis, and quantile regression.

Chaos And Fractals

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Author : C.A. Pickover
language : en
Publisher: Elsevier
Release Date : 1998-08-03

Chaos And Fractals written by C.A. Pickover and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998-08-03 with Mathematics categories.

These days computer-generated fractal patterns are everywhere, from squiggly designs on computer art posters to illustrations in the most serious of physics journals. Interest continues to grow among scientists and, rather surprisingly, artists and designers. This book provides visual demonstrations of complicated and beautiful structures that can arise in systems, based on simple rules. It also presents papers on seemingly paradoxical combinations of randomness and structure in systems of mathematical, physical, biological, electrical, chemical, and artistic interest. Topics include: iteration, cellular automata, bifurcation maps, fractals, dynamical systems, patterns of nature created through simple rules, and aesthetic graphics drawn from the universe of mathematics and art.Chaos and Fractals is divided into six parts: Geometry and Nature; Attractors; Cellular Automata, Gaskets, and Koch Curves; Mandelbrot, Julia and Other Complex Maps; Iterated Function Systems; and Computer Art.Additionally, information on the latest practical applications of fractals and on the use of fractals in commercial products such as the antennas and reaction vessels is presented. In short, fractals are increasingly finding application in practical products where computer graphics and simulations are integral to the design process. Each of the six sections has an introduction by the editor including the latest research, references, and updates in the field. This book is enhanced with numerous color illustrations, a comprehensive index, and the many computer program examples encourage reader involvement.