Stochastic Simulation: Computation and Estimation

In course

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Description

This lecture covers the computation and estimation in stochastic simulation, focusing on generating iid replicas, likelihood ratio, confidence intervals, and optimal importance sampling. The instructor explains practical implementations and algorithms for parameter families of pdfs.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_py5px5b0

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Ontological neighbourhood

Statistics

Statistical inference: Mathematical statistics, Statistical hypothesis testing

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