### Simulation I: Generating Random Variables (Introduction to Statistical Computing)

Lecture
15: Why simulate? Generating random variables as first step. The built-in
R commands: `rnorm`, `runif`, etc.; `sample`.
Transforming uniformly-distributed random variables into other distributions:
the quantile trick; the rejection method; illustration of the rejection method.
Understanding pseudo-random number generators: irrational rotations; the Arnold
cat map as a toy example of an unstable dynamical system; illustrations of the
Arnold cat map. Controlling the random number seed.

*Readings*: Matloff, chapter 8; The R Cookbook, chapter 8

Introduction to Statistical Computing

Posted at October 22, 2012 10:30 | permanent link