Monte Carlo methods

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.