Re: [R] Off Topic Simulation Techniques.

From: Charles Annis, P.E. <Charles.Annis_at_statisticalengineering.com>
Date: Thu 28 Jul 2005 - 00:14:12 EST


_Monte Carlo Statistical Methods_
by Christian P. Robert, George Casella
Springer, 2nd ed 2005

This book (I have edition 1) is a dandy. It will be rough sledding unless you have a reasonable background in math stats but I think it is just what you are looking for.

Charles Annis, P.E.

Charles.Annis@StatisticalEngineering.com phone: 561-352-9699
eFax: 614-455-3265
http://www.StatisticalEngineering.com  

-----Original Message-----
From: r-help-bounces@stat.math.ethz.ch
[mailto:r-help-bounces@stat.math.ethz.ch] On Behalf Of Campbell Sent: Wednesday, July 27, 2005 9:47 AM
To: r-help
Cc: phineas
Subject: [R] Off Topic Simulation Techniques.

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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R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Thu Jul 28 00:24:16 2005

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