Monte Carlo Statistical Methods

Yesterday, I started my annual course on Monte Carlo Statistical Method, open to the last year Master students in Paris Dauphine. This is a seven week course covering the first half and then more of the book Monte Carlo Statistical Method, with George Casella. Here are the (yes, 584) slides

These slides have not changed from last year (no time and no need to!) but this year I have distributed a preliminary copy of Introducing Monte Carlo Methods with R to the students so that they can practice Monte Carlo methods, spot typos in the book (only 10 cents per typo because I have no prior about the number of typos!), and write the(ir) solutions to the exercises as homework.

7 Responses to “Monte Carlo Statistical Methods”

  1. […] a reader, you have to stop and grab it. Lots of fun.”)  I noticed the same reactions from my students, so I quite agree with this point. When learning with a book, you need to sit with a piece of paper […]

  2. Dear Professor,

    On page 39 of Monte Carlo Statistical Methods, for u=0, the set of x is ]-\infty,+\infty[. (1 can also be a trouble in some cases)
    So either you extend the domain of F to -\infty and +\infty or u \neq 0,1 as on wikipedia

    My remark is not very interesting but in definition 2.3 the distribution function is defined on \mathbb{R}. So it does not look very clean.

    Best Regards

    • It is true that mathematically u=0,1 is an issue. But, probabilistically, generating a \mathcal{U}(0,1) is equivalent to generating a \mathcal{U}[0,1] in that 0 and 1 have a zero probability to occur. From a software point of view, good random generators cannot return those extreme values….

  3. The same student in my class pointed out further typos in Chapters 3 and 4. Fortunately, all those were signaled early enough to be corrected in the first printing.

  4. I already got two typos signaled by a student in the MCMC course:

    – x[i,j]=x[i+n*(j-1)] instead of x[i+p*(j-1)] on page 10

    F^{-}(u)=\inf\{x;F(x)\ge u\} instead of F^{-}(u)=\inf\{x;F(x)\le u\} on page 44

  5. Missed one seventh of the 5.84 hectoslides…!

  6. Is it to make me feel guilty for not coming ?

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