Code |
14808
|
Year |
3
|
Semester |
S1
|
ECTS Credits |
6
|
Workload |
TP(60H)
|
Scientific area |
Mathematics
|
Entry requirements |
NA
|
Learning outcomes |
It is intended that students use statistical methods that require an intensive use of the computer, related to random number generation, simulation of probability distributions, simulation of p-values of the hypothesis tests, re-sampling, Monte Carlo methods, MCMC methods, etc.
|
Syllabus |
1. Introduction to R. 2. Random numbers generation: Pseudo-random numbers; Methods for generating random variables (inverse-transform method; acceptance-rejection method; transformations). 3. Monte Carlo Methods: Simulation and Monte Carlo integration; Variance reduction; Importance sampling; Stratified sampling; Applications to statistical inference. 4. Likellihood: Maximum likelihood method; Score function; Fisher’s information; Expectation-maximization (EM) algorithm. 5. Resampling methods: Bootstrapping; Jackknife resampling; Cross validation. 6. Markov chain Monte Carlo methods (MCMC): Markov Chains (discrete-time Markov chains; birth-death process); The Hastings-Metropolis Algorithm; Gibbs sampler; Convergence of MCMC methods
|
Main Bibliography |
S. Ross.” Simulation”, Fourth Edition. Academic Press, 2006. S. Ross. “Introduction to Probability and Statistics for Engineers and Scientists”. John Wiley & Sons, 1987. J. Kleijnen. “Statistical Techniques in Simulation”, Volumes I, II. Marcel Dekker, Inc., 1974. B. Efron and R. F. Tibshirani. “An Introduction to the Bootstrap”. Chapman & Hall, 1993. M. R. Chernick, “An introduction to bootstrap methods with applications to R”. John Wiley & Sons, 2011. G. H. Givens and J. A. Hoeting. “Computational Statistics”, Second Edition. John Wiley & Sons, 2013. M. L. Rizzo. “Statistical Computing with R”. Chapman & Hall/CRC, 2008.
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Language |
Portuguese. Tutorial support is available in English.
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