Monte Carlo methods

7.5 credits

The course contains:

•General generation of one-dimensional random numbers, discrete and continuous: the inverse method, the acceptance-rejection technique, the compositon approach

•Generating specific one-dimensional random numbers: normal random numbers by the polar method, Poisson random variables, binomial random variables

•Generation of Poisson processes: homogenous and nonhomogenous, one-dimensional and two-dimensional

•Generation of multidimensional normal random numbers

•Generation of variables from copula models

•Variancereductiontechniques:useantitheticvariablesandcontrolvari- ates, conditioning, stratigic sampling, non-normalized and normalized importance sampling, latin hypercube sampling

•Statistical analysis of simulated data: the sample mean and sample variance, interval estimates of a population mean, bootstrapping technique for estimating mean square errors

•Statistical validation techniques: goodness of fit tests

Växjö

Roughly 15 minutes with a bike from the city centre, you will find Linnaeus University’s campus. It is like a small society with the university, student accommodation, and student life. Here you become part of a creative knowledge environment.

What will you come across on an excursion in Växjö – the city of contrasts? You will find good restaurants, a celebrated hockey team, and cozy cafés where you can enjoy a latte with lingonberry flavour. In Växjö, beautiful nature is always just around the corner; the city is surrounded by lakes and forests. Students like the combination of the city centre and the active student life on campus. Your dream of the future starts here!

Students