[R] Off Topic Simulation Techniques.

From: Campbell <p.campbell_at_econ.bbk.ac.uk>
Date: Wed 27 Jul 2005 - 23:46:37 EST


I wonder if anyone can help me find a text or reference to the probabilistic under pinnings of simulation techniques. I come from an econometrics background where the approach to Monte Carlo is a bit cook booky, most of the focus is on the implementation rather than the theoretical justification.

Given a standard setup; a probability triple, random variable and a functional on this random variable, we need to find the measure on the functional. This measure can be approximated by the ECDF, which is the counting measure. Asymptotically the counting measure must coincide with the measure on the functional. Are there any authors who have followed this approach?

Phineas Campbell



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