## slides for my simulation course

**S**imilar to last year, I am giving a series of lectures on simulation jointly as a Master course in Paris-Dauphine and as a 3rd year course in ENSAE. The course borrows from both the books *Monte Carlo Statistical Methods* and from *Introduction to Monte Carlo Methods with R*, with George Casella. Here are the three series of slides I will use throughout the course this year, mostly for the benefit of the students:

*(the last series is much improved when compared with an earlier version, thanks to Olivier Cappé!)*

*Related*

This entry was posted on October 18, 2012 at 6:14 pm and is filed under Books, Kids, R, Statistics, University life with tags ENSAE, Introduction to Monte Carlo Methods with R, MCMC, Monte Carlo Statistical Methods, R, simulation, slides, slideshare, Université Paris Dauphine. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.

October 19, 2012 at 6:40 pm

Where will you give these lectures and when?

October 19, 2012 at 9:26 pm

These are my lectures at ENSAE, open to TSI students. It started last Wednesday and will keep going till Jan. 16, with three practicals included… If you are interested you should contact ENSAE to be allowed to attend as “auditeur libre” (but it is not free!)

October 19, 2012 at 3:27 am

Thank you for the slides. Talking about simulation… do you believe that the estimator in my answer http://stats.stackexchange.com/questions/29616/is-there-an-unbiased-estimator-of-an-hellinger-distance to your question may have infinite variance, like the infamous HME of the marginal likelihood?

October 19, 2012 at 9:08 am

no, as I answered on Stack Exchange, your estimator has a finite variance!