slides for my simulation course

Similar 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!)

4 Responses to “slides for my simulation course”

  1. Where will you give these lectures and when?

    • 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!)

  2. Thank you for the slides. Talking about simulation… do you believe that the estimator in my answer to your question may have infinite variance, like the infamous HME of the marginal likelihood?

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