統計計算專題

• 授課老師：蔡碧紋 助理教授

• 授課時間及地點：星期三 9:10 至 12:00

• 書目：

  • Morgan, B.J.T., Elements of Simulation

  • Rizzo, M. L., Statistical computing with R

  • Robert, C. P., Casella, G. Monte Carlo Statistical Methods

• 課程內容

1. Introduction of R

2. Random Variables Generation:

• Transformation and Inverse method

• Box-Muller and Polar Marsaglia method

• Bivariate Normal Random Variables

3. Accept-Reject Methods

4. Monte Carlo Integration and variance reduction

• Buffon's Needle problem

• Antithetic variate, control variate

• Stratified sampling

• Importance Sampling

• Stratified Importance Sampling

5. Markov Chain Monte Carlo

• The Metropolis-Hastings algorithm

• Gibbs sampler.

6. Approximated Bayesian Computation and Accept-Reject method

• Computing language：R

R is a free software environment for statistical computing and graphics. For more information and to download the software, visit The R project home page.

R references

• A tutor html Statistical Computing with R (ISU)

• An Introduction to R by Venables, W. N., Simith D.M. and the R development Core Team

• R 中 文 web reference

Last revised: 2009, 4, 13