Stat 890 - Special Topics: Statistical Computing
Topics will include:
1. Basic numerical considerations
- computer arithmetic
- error analysis
2. Random number generation
- uniform generators
- inversion
- rejection sampling
- aliasing
- envelope methods
3. Optimization
- Newton type methods
- EM algorithm
- simulated annealing
4. Integration
- Laplace approximation
- quadrature
- importance sampling
- Markov chain Monte Carlo
- variance reduction
Other topics may include:
- bootstrapping
- data mining
- saddlepoint approximations
- Splus
- symbolic computation
- density estimation
- smoothing
- CART
- WinBUGS
- multivariate skew distributions
There will be no textbook for the course although references
will include:
- Robert and Casella - Monte Carlo Statistical Methods
- Fishman - Monte Carlo: Concepts, Algorithms and Applications
- Thisted - Elements of Statistical Computing
- Evans and Swartz - Approximating Integrals via Monte Carlo
and Deterministic Methods
Grading Scheme:
- assignments (weighting TBA)
- final exam (weighting TBA)