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!
