Fabio Sigrist: Catalogue data in Autumn Semester 2018

Name Dr. Fabio Sigrist
Professur für Statistik
ETH Zürich, HG G 24.2
Rämistrasse 101
8092 Zürich
Telephone+41 44 632 41 03

401-3612-00LStochastic Simulation5 credits3GF. Sigrist
AbstractThis course provides an introduction to statistical Monte Carlo methods. This includes applications of simulations in various fields (Bayesian statistics, statistical mechanics, operations research, financial mathematics), algorithms for the generation of random variables (accept-reject, importance sampling), estimating the precision, variance reduction, introduction to Markov chain Monte Carlo.
ObjectiveStochastic simulation (also called Monte Carlo method) is the experimental analysis of a stochastic model by implementing it on a computer. Probabilities and expected values can be approximated by averaging simulated values, and the central limit theorem gives an estimate of the error of this approximation. The course shows examples of the many applications of stochastic simulation and explains different algorithms used for simulation. These algorithms are illustrated with the statistical software R.
ContentExamples of simulations in different fields (computer science, statistics, statistical mechanics, operations research, financial mathematics). Generation of uniform random variables. Generation of random variables with arbitrary distributions (quantile transform, accept-reject, importance sampling), simulation of Gaussian processes and diffusions. The precision of simulations, methods for variance reduction. Introduction to Markov chains and Markov chain Monte Carlo (Metropolis-Hastings, Gibbs sampler, Hamiltonian Monte Carlo, reversible jump MCMC).
Lecture notesA script will be available in English.
LiteratureP. Glasserman, Monte Carlo Methods in Financial Engineering.
Springer 2004.

B. D. Ripley. Stochastic Simulation. Wiley, 1987.

Ch. Robert, G. Casella. Monte Carlo Statistical Methods.
Springer 2004 (2nd edition).
Prerequisites / NoticeFamiliarity with basic concepts of probability theory (random variables, joint and conditional distributions, laws of large numbers and central limit theorem) will be assumed.