Lecturer
Jens Ledet Jensen and Eva B. Vedel Jensen
Content
The course will start with an introduction to basic methods in stochastic simulations. This will include the acception-rejection method for simulating a distribution, output analysis to evaluate the quality of a simulation, and methods for improving the quality: importance sampling, control variates, antithetic sampling. Among the possible subjects for the remaining part of the course are: Markov chain Monte Carlo, exact simulation, rare event simulation, maximization of a function determined by simulation, state space models, hidden Markov models and point processes.
Prerequisites
Probability 1 and Statistics 1.
Assessment
Evaluation will be based on active participation.
Literature
Articles and notes