November 11, 2011

Simulation II: Monte Carlo and Markov Chains (Introduction to Statistical Computing)

Lecture 18: the Monte Carlo method for numerical integration; Monte Carlo for expectation values; importance sampling. Markov chains: definition, the roots of the Markov property; asymptotics of Markov chains via linear algebra; Markov chains and graphs; the law of large numbers (ergodic theorem) for Markov chains.

Introduction to Statistical Computing

Posted at November 11, 2011 10:30 | permanent link

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