Mark L. Huber

Perfect Simulation (eBook, PDF)

• Format: PDF

Produktbeschreibung

Exact sampling, specifically coupling from the past (CFTP), allows users to sample exactly from the stationary distribution of a Markov chain. During its nearly 20 years of existence, exact sampling has evolved into perfect simulation, which enables high-dimensional simulation from interacting distributions.Perfect Simulation illustrates the applic

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Produktdetails

• Verlag: Taylor & Francis eBooks
• Seitenzahl: 250
• Erscheinungstermin: 20. Januar 2016
• Englisch
• ISBN-13: 9781482232455
• Artikelnr.: 44874263

Autorenporträt

Mark L. Huber is the Fletcher Jones Associate Professor of Mathematics and Statistics and George R. Roberts Fellow at Claremont McKenna College. Dr. Huber works in the area of computational probability, designing Monte Carlo methods for applications in statistics and computer science. His research interests include applied mathematics, calculus, computers, probability, and statistics. He earned a PhD from Cornell University.

Inhaltsangabe

Introduction. Acceptance/Rejection. Coupling from the Past. Bounding
Chains. Advanced Techniques Using Coalescence. Coalescence on Continuous
and Unbounded State Spaces. Spatial Point Processes. The Randomness
Recycler. Advanced Acceptance/Rejection. Stochastic Differential Equations.
Applications and Limitations of Perfect Simulation.