STATS 362 - Monte Carlo Sampling

Institution:

Stanford University

Subject:

Description:

Fundamentals of Monte Carlo methods. Generating uniform and nonuniform variables, random vectors and processes. Monte Carlo integration and variance reduction. Quasi-Monte Carlo sampling. Markov chain Monte Carlo, including Gibbs sampling and Metropolis-Hastings. Examples, problems and motivations from Bayesian statistics, computational finance, computer graphics, physics. 2-3 units, Aut (Owen, A)

Credits:

2.00 - 3.00

Credit Hours:

Prerequisites:

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

www.stanford.edu/

Phone Number:

(650) 723-2300

Regional Accreditation:

Western Association of Schools and Colleges

Calendar System:

Quarter

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