Monte Carlo Simulations Of Random Variables, Sequences And Processes
Edition: First edition
Publisher: Element d.o.o., Zagreb, Croatia
Published: 9 September, 2009
Place of publication: Zagreb, Croatia
Language: eng
Translated from: hrv
Translation of: Monte Carlo simulacije slučajnih veličina, nizova i procesa
Format: Paperback
Number of pages: 310
ISBN-13: 9789531975698
Copyright date: ©2009
Other titles: Monte Carlo simulacije slučajnih veličina, nizova i procesa
First sentence: To simulate a random variable means to construct its numerical sample of an arbitrary large length.
Description: Numerical methods in probability theory can generally be divided into two groups, deterministic and Monte Carlo methods. Deterministic methods are used for numerical expectations of various random variables whenever such methods are efficient from the point of view of the time spent and the complexity of the numerical procedure. It is widely believed that Monte Carlo methods are used exclusively as an alternative numerical procedure for the numerical estimation of the expectation of random variables. At the same time, it is considered that Monte Carlo methods should be used when they are more efficient than deterministic ones. However, there are numerical procedures in which Monte Carlo methods are an indispensable tool. It is enough to mention statistical models in technical, natural and social sciences, and the bootstrap method for estimating the parameters of a statistical model. Therefore, Monte Carlo methods must be seen as an essential tool in the numerical procedures of probability theory, and should be known as an integral part of probability theory.
Notes: Original book title ' Monte Carlo simulacije slučajnih veličina, nizova i procesa ' written in Croatian.
Isbn (Original Book) : 9789531975629, 9531975620. The Croatian version was published in 2002.
Bibliographical Notes and Bibliography are given at page 299 of the English Translation. Contains index.
Table of contents: title: -- Content:; title: -- Pseudo-random numbers; title: -- Simulation of random variables; title: -- Simulation of stationary sequences; title: -- Simulation of Markov chains; title: -- Simulation of Markov jump processes; title: -- Simulation of Brownian motion; title: -- Simulation of generalized diffusion; title: -- Bibliographical notes; title: -- Bibliography; title: -- Index