Research Catalog

Title

Automatic nonuniform random variate generation / Wolfgang Hörmann, Josef Leydold, Gerhard Derflinger.

Author

Hörmann, Wolfgang

Publication

Berlin ; New York : Springer, c2004.

Items in the Library & Off-site

Holdings

Details

Additional Authors

• Derflinger, Gerhard
• Leydold, Josef

Description

x, 441 p. : ill.; 25 cm.

Summary

"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."--Jacket.

Series Statement

Statistics and computing, 1431-8784

Uniform Title

Statistics and computing.

Subject

• Random variables
• Software
• Verdelingen (statistiek)
• Willekeurige variabelen

Bibliography (note)

• Includes bibliographical references (p. [415]-428) and index.

Processing Action (note)

• committed to retain

Contents

pt. I. Preliminaries -- 1. Introduction -- 2. General Principles in Random Variate Generation -- 3. General Principles for Discrete Distributions -- pt. II. Continuous Univariate Distributions -- 4. Transformed Density Rejection (TDR) -- 5. Strip Methods -- 6. Methods Based on General Inequalities -- 7. Numerical Inversion -- 8. Comparison and General Considerations -- 9. Distributions Where the Density Is Not Known Explicitly -- pt. III. Discrete Univariate Distributions -- 10. Discrete Distributions -- pt. IV. Random Vectors -- 11. Multivariate Distributions -- pt. V. Implicit Modeling -- 12. Combination of Generation and Modeling -- 13. Time Series (Authors Michael Hauser and Wolfgang Hormann) -- 14. Markov Chain Monte Carlo Methods -- 15. Some Simulation Examples.

ISBN

3540406522 (acid-free paper)

LCCN

^^2003066410

Owning Institutions

Harvard Library