Independent Random Sampling Methods (Statistics and Computing)

Hardcover, xii + 280 pages, NOT ex-library. Book looks unread, clean and bright throughout with unmarked text, free of inscriptions and stamps, firmly bound. Issued without a dust jacket. -- Contents: 1 Introduction: -- Monte Carlo Method: A Brief History; Need for Monte Carlo; Random Number Generation; Pseudo-Random Number Generators; Random Sampling Methods; Goal and Organization of This Book; References; 2 Direct Methods: -- Introduction; Notation; Transformations of Random Variables; Universal Direct Methods; Tailored Techniques; Examples; Summary; 3 Accept-Reject Methods: -- Introduction; Rejection Sampling; Computational Cost; Band Rejection Method; Acceptance-Complement Method; RS with Stepwise Proposals; Transformed Rejection Method; Examples; Monte Carlo Estimation via RS; Summary; 4 Adaptive Rejection Sampling Methods: -- Introduction; Generic Structure of an Adaptive Rejection Sampler; Constructions of the Proposal Densities; Performance and Computational Cost of the ARS Schemes; Variants of the Adaptive Structure in the ARS Scheme; Combining ARS and MCMC; Summary; 5 Ratio of Uniforms: -- Introduction; Standard Ratio of Uniforms Method; Envelope Polygons and Adaptive RoU; Generalized Ratio of Uniforms Method; Properties of Generalized RoU Samplers; Connections Between GRoU and Other Classical Techniques; How Does GRoU Work for Generic Pdfs?; Rectangular Region Ag; Relaxing Assumptions: GRoU with Decreasing g(u); Another View of GRoU; Summary; 6 Independent Sampling for Multivariate Densities: -- Introduction; Notation; Generic Procedures; Elliptically Contoured Distributions; Vertical Density Representation; Uniform Distributions in Dimension n; Transformations of a Random Variable; Sampling Techniques for Specific Distributions; Generation of Stochastic Processes; Summary; 7 Asymptotically Independent Samplers: -- Introduction; Metropolis-Hastings (MH) Methods; Independent Generalized MH Methods with Multiple Candidates; Independent Doubly Adaptive Rejection Metropolis Sampling Adaptive Rejection Sampling (Ars) Adaptive Rejection Metropolis Sampling; Summary; 8 Summary and Outlook: A. Acronyms and Abbreviations B. Notation C Jones' RoU Generalization D Polar Transformation -- This book systematically addresses the design and analysis of efficient techniques for independent random sampling. Both general-purpose approaches, which can be used to generate samples from arbitrary probability distributions, and tailored techniques, designed to efficiently address common real-world practical problems, are introduced and discussed in detail. In turn, the monograph presents fundamental results and methodologies in the field, elaborating and developing them into the latest techniques. The theory and methods are illustrated with a varied collection of examples, which are discussed in detail in the text and supplemented with ready-to-run computer code. The main problem addressed in the book is how to generate independent random samples from an arbitrary probability distribution with the weakest possible constraints or assumptions in a form suitable for practical implementation. The authors review the fundamental results and methods in the field, address the latest methods, and emphasize the links and interplay between ostensibly diverse techniques.…