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Independent Random Sampling Methods

✍ Scribed by Luca Martino, David Luengo, Joaquín Míguez

Publisher
Springer International Publishing
Year
2018
Tongue
English
Leaves
289
Series
Statistics and Computing
Edition
1st ed.
Category
Library
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✦ Synopsis

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.


✦ Table of Contents

Front Matter ....Pages i-xii
Introduction (Luca Martino, David Luengo, Joaquín Míguez)....Pages 1-26
Direct Methods (Luca Martino, David Luengo, Joaquín Míguez)....Pages 27-63
Accept–Reject Methods (Luca Martino, David Luengo, Joaquín Míguez)....Pages 65-113
Adaptive Rejection Sampling Methods (Luca Martino, David Luengo, Joaquín Míguez)....Pages 115-157
Ratio of Uniforms (Luca Martino, David Luengo, Joaquín Míguez)....Pages 159-196
Independent Sampling for Multivariate Densities (Luca Martino, David Luengo, Joaquín Míguez)....Pages 197-247
Asymptotically Independent Samplers (Luca Martino, David Luengo, Joaquín Míguez)....Pages 249-266
Summary and Outlook (Luca Martino, David Luengo, Joaquín Míguez)....Pages 267-270
Back Matter ....Pages 271-280

✦ Subjects

Statistics; Statistics and Computing/Statistics Programs; Mathematics of Computing; Quantitative Finance; Statistical Theory and Methods; Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences

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