Announcements: Final Exam is on 23rd November (Saturday) from 9:00 - 12:00 in L7.


This is the course webpage for MTH 511: Statistical Simulation and Data Analysis.


Information:


References:

  • Sampling from Distributions:
    • “Simulation” by Sheldon M. Ross (Academic Press, Fourth Edition), 2006, Chaps. 1-5. Online book
    • “Non-Uniform Random Variable Generation” by Luc Devroye. Online book
    • Bernoulli Factories: “Designing perfect simulation algorithms using local correctness” arxiv
    • Ratio-of-Uniforms method Paper, Resource 1, Resource 2
  • Maximum Likelihood Estimation
    • “Statistical Inference” by Casella and Berger. Online book
    • MLE estimation notes at UChicago link
  • Regression
    • “Applied Linear Regression” by Sanford Weisberg Online book
    • Elements of Statistical Learning by Hastie, Tibshirani, and Friedman Link
  • Optimization
    • “Convex Optimization” by Boyd and Vandenberghe Link
    • MM Algorithm notes by Kenneth Lange Link
    • MM Algorithm notes Link
  • EM Algorithm
  • Cross-validation
    • Slides Link
    • Note Link
    • Elements of Statistical Learning by Hastie, Tibshirani, and Friedman - Chapter 7 Link
  • Bootstrap
  • MCMC
  • Linchpin Accept-Reject
  • Importance Sampling

Here is an up to date problem set


Due 4th November Numerical Assignment

Download R code for your true parameters here

Download R code for running the first problem here


R codes: