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

Linnaeus University’s campus is located roughly 15 minutes with bicycle from the city centre. Campus is like a small society in its own right, with the university, student accommodation and student life all in one place. Everything happens on campus – here you become part of a creative knowledge environment and an eventful student life.

What will you find when exploring Växjö? There is a great selection of restaurants and cosy cafés. There is a large lake in the city centre, beautiful nature is always nearby. Many students enjoy the combination of the city centre in Växjö and life on campus. This is where your dream of the future begins!

Students