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Génération automatique non uniforme aléatoire par Wolfgang Hörmann : neuf

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Caractéristiques de l'objet

État
Neuf: Livre neuf, n'ayant jamais été lu ni utilisé, en parfait état, sans pages manquantes ni ...
Book Title
Automatic Nonuniform Random Variate Generation
Publication Date
2003-10-23
Pages
441
ISBN
9783540406525
Subject Area
Computers, Mathematics
Publication Name
Automatic Nonuniform Random Variate Generation
Item Length
9.3 in
Publisher
Springer Berlin / Heidelberg
Subject
Numerical Analysis, Probability & Statistics / General, Computer Science, Algebra / General
Publication Year
2003
Series
Statistics and Computing Ser.
Type
Textbook
Format
Hardcover
Language
English
Author
Gerhard Derflinger, Josef Leydold, Wolfgang Hörmann
Item Width
6.1 in
Item Weight
28.7 Oz
Number of Pages
X, 441 Pages

À propos de ce produit

Product Information

The recent concept of universal (also called automatic or black-box) random variate generation can only be found dispersed in the literature. Being unique in its overall organization, the book covers not only the mathematical and statistical theory but also deals with the implementation of such methods. All algorithms introduced in the book are designed for practical use in simulation and have been coded and made available by the authors. Examples of possible applications of the presented algorithms (including option pricing, VaR and Bayesian statistics) are presented at the end of the book.

Product Identifiers

Publisher
Springer Berlin / Heidelberg
ISBN-10
3540406522
ISBN-13
9783540406525
eBay Product ID (ePID)
5963071

Product Key Features

Author
Gerhard Derflinger, Josef Leydold, Wolfgang Hörmann
Publication Name
Automatic Nonuniform Random Variate Generation
Format
Hardcover
Language
English
Subject
Numerical Analysis, Probability & Statistics / General, Computer Science, Algebra / General
Publication Year
2003
Series
Statistics and Computing Ser.
Type
Textbook
Subject Area
Computers, Mathematics
Number of Pages
X, 441 Pages

Dimensions

Item Length
9.3 in
Item Width
6.1 in
Item Weight
28.7 Oz

Additional Product Features

LCCN
2003-066410
Intended Audience
Scholarly & Professional
Number of Volumes
1 Vol.
Lc Classification Number
Qa71-90
Reviews
From the reviews: "The book discusses random variate generation generally, with some emphasis on methods that use the concavity properties of transformations of a density to design rejection algorithms. ... Overall, this is a good book that accurately reflects the current state of the art in designing generation algorithms, including many contributions from the authors." (Michael J. Evans, Mathematical Reviews, 2006 b) "The main topic of the book are universal generators, i.e. the generators usable for a broad class of distributions ... . It benefits from the long term research of the authors. All known important methods for the construction of universal nonuniform generators are presented together with the algorithms of corresponding generators. ... The book can serve as a monograph and as a textbook. The book is a good choice for everybody interested in nonuniform random number generators." (Jaroslav Krl', Zentralblatt MATH, Vol. 1038 (13), 2004) "Many statistical methods make use of simulation. ... What if we want to simulate from a t-distribution with parameter 2.3? What if the distribution is specified by means of its hazard function? This fascinating book is the place to look for answers to questions such as these. ... where the book is particularly interesting is when it presents a variety of 'automatic methods'. ... This book is essential reading for users of simulation and is destined to become a classical reference for the area." (B.J.T. Morgan, Short Book Reviews, Vol. 24 (3), 2004) "This important book deals with the algorithmic development of the generation of random variables for discrete and continuous 'large distribution' families. ... The authors introduce a library of algorithms that can generate random variates from a multitude of distributions. These universal generators are termed UNU.RAN and are available from the authors' Web site. ... The mathematics that are introduced are used intelligently, adding value to the practical edge. The coverage of the literature is comprehensive:-the-best that I have met." (Mohamed Afzal Norat, Journal of the Royal Statistical Society, Vol. 168 (1), 2005) "This book ... has its focus on an area which is usually not covered extensively, namely the search for automatic generators. ... The book is also remarkable in that it is both a joy to read for a mathematician and a helpful guidance and reference for practical algorithms. ... the text is a comprehensive and well-structured overview over the main ideas and relevant algorithms emanating from them ... . It is a welcome and valuable enrichment of the literature about random variate generation ... ." (Jakob Creutzig, Metrika, Vol. 64, 2006) "This book describes approaches to simulating variates from discrete and continuous distributions ... . The authors target a mixed audience of computer scientists and statisticians. ... Each chapter concludes with an ample number of exercises, and comprehensive references for further study are provided. In summary, I have found this to be a useful reference, and would recommend it to any statistician who regularly engages in (or advises on) simulation studies." (Paul D. Baxter, Journal of Applied Statistics, Vol. 33 (8), 2006) "Automatic Nonuniform Random Variate Generation is primarily a research monograph unifying the authors' work in algorithms and software to sample from a large family of distributions ... . The writing is very clear ... and worked examples, often with graphical illustration, facilitate understanding. ... I highly recommend this book and the accompanying webpages to graduate students and other researchers from many disciplines (e.g., statistics, computer science, physics, engineering) who need to simulate random variates from non-standard but low-dimensional densities as a part of their research." (Mary Kathryn Cowles, Journal of the American Statistical Association, Vol. 102 (479), 2007), From the reviews: "The book discusses random variate generation generally, with some emphasis on methods that use the concavity properties of transformations of a density to design rejection algorithms. ... Overall, this is a good book that accurately reflects the current state of the art in designing generation algorithms, including many contributions from the authors." (Michael J. Evans, Mathematical Reviews, 2006 b) "The main topic of the book are universal generators, i.e. the generators usable for a broad class of distributions ... . It benefits from the long term research of the authors. All known important methods for the construction of universal nonuniform generators are presented together with the algorithms of corresponding generators. ... The book can serve as a monograph and as a textbook. The book is a good choice for everybody interested in nonuniform random number generators." (Jaroslav Král', Zentralblatt MATH, Vol. 1038 (13), 2004) "Many statistical methods make use of simulation. ... What if we want to simulate from a t-distribution with parameter 2.3? What if the distribution is specified by means of its hazard function? This fascinating book is the place to look for answers to questions such as these. ... where the book is particularly interesting is when it presents a variety of 'automatic methods'. ... This book is essential reading for users of simulation and is destined to become a classical reference for the area." (B.J.T. Morgan, Short Book Reviews, Vol. 24 (3), 2004) "This important book deals with the algorithmic development of the generation of random variables for discrete and continuous 'large distribution' families. ... The authors introduce a library of algorithms that can generate random variates from a multitude of distributions. These universal generators are termed UNU.RAN and are available from the authors' Web site. ... The mathematics that are introduced are used intelligently, adding value to the practical edge. The coverage of the literature is comprehensive:-the-best that I have met." (Mohamed Afzal Norat, Journal of the Royal Statistical Society, Vol. 168 (1), 2005) "This book ... has its focus on an area which is usually not covered extensively, namely the search for automatic generators. ... The book is also remarkable in that it is both a joy to read for a mathematician and a helpful guidance and reference for practical algorithms. ... the text is a comprehensive and well-structured overview over the main ideas and relevant algorithms emanating from them ... . It is a welcome and valuable enrichment of the literature about random variate generation ... ." (Jakob Creutzig, Metrika, Vol. 64, 2006) "This book describes approaches to simulating variates from discrete and continuous distributions ... . The authors target a mixed audience of computer scientists and statisticians. ... Each chapter concludes with an ample number of exercises, and comprehensive references for further study are provided. In summary, I have found this to be a useful reference, and would recommend it to any statistician who regularly engages in (or advises on) simulation studies." (Paul D. Baxter, Journal of Applied Statistics, Vol. 33 (8), 2006) "Automatic Nonuniform Random Variate Generation is primarily a research monograph unifying the authors' work in algorithms and software to sample from a large family of distributions ... . The writing is very clear ... and worked examples, often with graphical illustration, facilitate understanding. ... I highly recommend this book and the accompanying webpages to graduate students and other researchers from many disciplines (e.g., statistics, computer science, physics, engineering) who need to simulate random variates from non-standard but low-dimensional densities as a part of their research." (Mary Kathryn Cowles, Journal of the American Statistical Association, Vol. 102 (479), 2007), From the reviews: "The book discusses random variate generation generally, with some emphasis on methods that use the concavity properties of transformations of a density to design rejection algorithms. … Overall, this is a good book that accurately reflects the current state of the art in designing generation algorithms, including many contributions from the authors." (Michael J. Evans, Mathematical Reviews, 2006 b) "The main topic of the book are universal generators, i.e. the generators usable for a broad class of distributions … . It benefits from the long term research of the authors. All known important methods for the construction of universal nonuniform generators are presented together with the algorithms of corresponding generators. … The book can serve as a monograph and as a textbook. The book is a good choice for everybody interested in nonuniform random number generators." (Jaroslav Král', Zentralblatt MATH, Vol. 1038 (13), 2004) "Many statistical methods make use of simulation. … What if we want to simulate from a t-distribution with parameter 2.3? What if the distribution is specified by means of its hazard function? This fascinating book is the place to look for answers to questions such as these. … where the book is particularly interesting is when it presents a variety of 'automatic methods'. … This book is essential reading for users of simulation and is destined to become a classical reference for the area." (B.J.T. Morgan, Short Book Reviews, Vol. 24 (3), 2004) "This important book deals with the algorithmic development of the generation of random variables for discrete and continuous 'large distribution' families. … The authors introduce a library of algorithms that can generate random variates from a multitude of distributions. These universal generators are termed UNU.RAN and are available from the authors' Web site. … The mathematics that are introduced are used intelligently, adding value to the practical edge. The coverage of the literature is comprehensive:-the-best that I have met." (Mohamed Afzal Norat, Journal of the Royal Statistical Society, Vol. 168 (1), 2005) "This book … has its focus on an area which is usually not covered extensively, namely the search for automatic generators. … The book is also remarkable in that it is both a joy to read for a mathematician and a helpful guidance and reference for practical algorithms. … the text is a comprehensive and well-structured overview over the main ideas and relevant algorithms emanating from them … . It is a welcome and valuable enrichment of the literature about random variate generation … ." (Jakob Creutzig, Metrika, Vol. 64, 2006) "This book describes approaches to simulating variates from discrete and continuous distributions … . The authors target a mixed audience of computer scientists and statisticians. … Each chapter concludes with an ample number of exercises, and comprehensive references for further study are provided. In summary, I have found this to be a useful reference, and would recommend it to any statistician who regularly engages in (or advises on) simulation studies." (Paul D. Baxter, Journal of Applied Statistics, Vol. 33 (8), 2006) "Automatic Nonuniform Random Variate Generation is primarily a research monograph unifying the authors' work in algorithms and software to sample from a large family of distributions … . The writing is very clear … and worked examples, often with graphical illustration, facilitate understanding. … I highly recommend this book and the accompanying webpages to graduate students and other researchers from many disciplines (e.g., statistics, computer science, physics, engineering) who need to simulate random variates from non-standard but low-dimensional densities as a part of their research." (Mary Kathryn Cowles, Journal of the American Statistical Association, Vol. 102 (479), 2007), From the reviews: "The book discusses random variate generation generally, with some emphasis on methods that use the concavity properties of transformations of a density to design rejection algorithms. 'e¦ Overall, this is a good book that accurately reflects the current state of the art in designing generation algorithms, including many contributions from the authors." (Michael J. Evans, Mathematical Reviews, 2006 b) "The main topic of the book are universal generators, i.e. the generators usable for a broad class of distributions 'e¦ . It benefits from the long term research of the authors. All known important methods for the construction of universal nonuniform generators are presented together with the algorithms of corresponding generators. 'e¦ The book can serve as a monograph and as a textbook. The book is a good choice for everybody interested in nonuniform random number generators." (Jaroslav Král'e(tm), Zentralblatt MATH, Vol. 1038 (13), 2004) "Many statistical methods make use of simulation. 'e¦ What if we want to simulate from a t-distribution with parameter 2.3? What if the distribution is specified by means of its hazard function? This fascinating book is the place to look for answers to questions such as these. 'e¦ where the book is particularly interesting is when it presents a variety of 'e~automatic methods'e(tm). 'e¦ This book is essential reading for users of simulation and is destined to become a classical reference for the area." (B.J.T. Morgan, Short Book Reviews, Vol. 24 (3), 2004) "This important book deals with the algorithmic development of the generation of random variables for discrete and continuous 'e~large distribution'e(tm) families. 'e¦ The authors introduce a library of algorithms that can generate random variates from a multitude of distributions. These universal generators are termed UNU.RAN and are available from the authors'e(tm) Web site. 'e¦ The mathematics that are introduced are used intelligently, adding value to the practical edge. The coverage of the literature is comprehensive:-the-best that I have met." (Mohamed Afzal Norat, Journal of the Royal Statistical Society, Vol. 168 (1), 2005) "This book 'e¦ has its focus on an area which is usually not covered extensively, namely the search for automatic generators. 'e¦ The book is also remarkable in that it is both a joy to read for a mathematician and a helpful guidance and reference for practical algorithms. 'e¦ the text is a comprehensive and well-structured overview over the main ideas and relevant algorithms emanating from them 'e¦ . It is a welcome and valuable enrichment of the literature about random variate generation 'e¦ ." (Jakob Creutzig, Metrika, Vol. 64, 2006) "This book describes approaches to simulating variates from discrete and continuous distributions 'e¦ . The authors target a mixed audience of computer scientists and statisticians. 'e¦ Each chapter concludes with an ample number of exercises, and comprehensive references for further study are provided. In summary, I have found this to be a useful reference, and would recommend it to any statistician who regularly engages in (or advises on) simulation studies." (Paul D. Baxter, Journal of Applied Statistics, Vol. 33 (8), 2006) "Automatic Nonuniform Random Variate Generation is primarily a research monograph unifying the authors'e(tm) work in algorithms and software to sample from a large family of distributions 'e¦ . The writing is very clear 'e¦ and worked examples, often with graphical illustration, facilitate understanding. 'e¦ I highly recommend this book and the accompanying webpages to graduate students and other researchers from many disciplines (e.g., statistics, computer science, physics, engineering) who need to simulate random variates from non-standard but low-dimensional densities as a part of their research." (Mary Kathryn Cowles, Journal of the American Statistical Association, Vol. 102 (479), 2007), From the reviews: "The book discusses random variate generation generally, with some emphasis on methods that use the concavity properties of transformations of a density to design rejection algorithms. a? Overall, this is a good book that accurately reflects the current state of the art in designing generation algorithms, including many contributions from the authors." (Michael J. Evans, Mathematical Reviews, 2006 b) "The main topic of the book are universal generators, i.e. the generators usable for a broad class of distributions a? . It benefits from the long term research of the authors. All known important methods for the construction of universal nonuniform generators are presented together with the algorithms of corresponding generators. a? The book can serve as a monograph and as a textbook. The book is a good choice for everybody interested in nonuniform random number generators." (Jaroslav Kr?!la?, Zentralblatt MATH, Vol. 1038 (13), 2004) "Many statistical methods make use of simulation. a? What if we want to simulate from a t-distribution with parameter 2.3? What if the distribution is specified by means of its hazard function? This fascinating book is the place to look for answers to questions such as these. a? where the book is particularly interesting is when it presents a variety of a'automatic methodsa?'. a? This book is essential reading for users of simulation and is destined to become a classical reference for the area." (B.J.T. Morgan, Short Book Reviews, Vol. 24 (3), 2004) "This important book deals with the algorithmic development of the generation of random variables for discrete and continuous a'large distributiona? families. a? The authors introduce a library of algorithms that can generate random variates from a multitude of distributions. These universal generators are termed UNU.RAN and are available from the authorsa? Web site. a? The mathematics that are introduced are used intelligently, adding value to the practical edge. The coverage of the literature is comprehensive:-the-best that I have met." (Mohamed Afzal Norat, Journal of the Royal Statistical Society, Vol. 168 (1), 2005) "This book a? has its focus on an area which is usually not covered extensively, namely the search for automatic generators. a? The book is also remarkable in that it is both a joy to read for a mathematician and a helpful guidance and reference for practical algorithms. a? the text is a comprehensive and well-structured overview over the main ideas and relevant algorithms emanating from them a? . It is a welcome and valuable enrichment of the literature about random variate generation a? ." (Jakob Creutzig, Metrika, Vol. 64, 2006), From the reviews:"The book discusses random variate generation generally, with some emphasis on methods that use the concavity properties of transformations of a density to design rejection algorithms. … Overall, this is a good book that accurately reflects the current state of the art in designing generation algorithms, including many contributions from the authors." (Michael J. Evans, Mathematical Reviews, 2006 b)"The main topic of the book are universal generators, i.e. the generators usable for a broad class of distributions … . It benefits from the long term research of the authors. All known important methods for the construction of universal nonuniform generators are presented together with the algorithms of corresponding generators. … The book can serve as a monograph and as a textbook. The book is a good choice for everybody interested in nonuniform random number generators." (Jaroslav Král', Zentralblatt MATH, Vol. 1038 (13), 2004)"Many statistical methods make use of simulation. … What if we want to simulate from a t-distribution with parameter 2.3? What if the distribution is specified by means of its hazard function? This fascinating book is the place to look for answers to questions such as these. … where the book is particularly interesting is when it presents a variety of 'automatic methods'. … This book is essential reading for users of simulation and is destined to become a classical reference for the area." (B.J.T. Morgan, Short Book Reviews, Vol. 24 (3), 2004)"This important book deals with the algorithmic development of the generation of random variables for discrete and continuous 'large distribution' families. … The authors introduce a library of algorithms that can generate random variates from a multitude of distributions. These universal generators are termed UNU.RAN and are available from the authors' Web site. … The mathematics that are introduced are used intelligently, adding value to the practical edge. The coverage of the literature is comprehensive:-the-best that I have met." (Mohamed Afzal Norat, Journal of the Royal Statistical Society, Vol. 168 (1), 2005) "This book … has its focus on an area which is usually not covered extensively, namely the search for automatic generators. … The book is also remarkable in that it is both a joy to read for a mathematician and a helpful guidance and reference for practical algorithms. … the text is a comprehensive and well-structured overview over the main ideas and relevant algorithms emanating from them … . It is a welcome and valuable enrichment of the literature about random variate generation … ." (Jakob Creutzig, Metrika, Vol. 64, 2006)"This book describes approaches to simulating variates from discrete and continuous distributions … . The authors target a mixed audience of computer scientists and statisticians. … Each chapter concludes with an ample number of exercises, and comprehensive references for further study are provided. In summary, I have found this to be a useful reference, and would recommend it to any statistician who regularly engages in (or advises on) simulation studies." (Paul D. Baxter, Journal of Applied Statistics, Vol. 33 (8), 2006)"Automatic Nonuniform Random Variate Generation is primarily a research monograph unifying the authors' work in algorithms and software to sample from a large family of distributions … . The writing is very clear … and worked examples, often with graphical illustration, facilitate understanding. … I highly recommend this book and the accompanying webpages to graduate students and other researchers from many disciplines (e.g., statistics, computer science, physics, engineering) who need to simulate random variates from non-standard but low-dimensional densities as a part of their research." (Mary Kathryn Cowles, Journal of the American Statistical Association, Vol. 102 (479), 2007)
Table of Content
1 Introduction.- 2 General Principles in Random Variate Generation.- 3 General Principles for Discrete Distributions.- 4 Transformed Density Rejection (TDR).- 5 Strip Methods.- 6 Methods Based on General Inequalities.- 7 Numerical Inversion.- 8 Comparison and General Considerations.- 9 Distributions Where the Density Is Not Known Explicitly.- 10 Discrete Distributions.- 11 Multivariate Distributions.- 12 Combination of Generation and Modeling.- 13 Time Series (Authors Michael Hauser and Wolfgang Hörmann).- 14 Markov Chain Monte Carlo Methods.- 15 Some Simulation Examples.- List of Algorithms.- References.- Author index.- Selected Notation.- Subject Index and Glossary.
Copyright Date
2004
Dewey Decimal
519.2
Dewey Edition
22
Illustrated
Yes

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