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Simulation in Statistics

Robert, Christian P. (2011), Simulation in Statistics, in Jain, S.; IEEE, Winter Simulation Conference, WSC 2011. Proceedings : 11-14 December 2011, Phoenix, Arizona, IEEE : New-York, p. 12

Type
Communication / Conférence
External document link
http://fr.arXiv.org/abs/1105.4823
Date
2011
Conference title
Winter Simulation Conference
Conference date
2011-12
Conference city
Phoenix
Conference country
Etats-Unis
Book title
Winter Simulation Conference, WSC 2011. Proceedings : 11-14 December 2011, Phoenix, Arizona
Book author
Jain, S.; IEEE
Publisher
IEEE
Published in
New-York
ISBN
978-1-4577-2109-0
Pages
12; 108-119
Metadata
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Author(s)
Robert, Christian P.
Abstract (EN)
Simulation has become a standard tool in statistics because it may be the only tool available for analysing some classes of probabilistic models. We review in this paper simulation tools that have been specifically derived to address statistical challenges and, in particular, recent advances in the areas of adaptive Markov chain Monte Carlo (MCMC) algorithms, and approximate Bayesian calculation (ABC) algorithms.
Subjects / Keywords
importance sampling; SMC; ABC; MCMC; Markov chains; bootstrap; maximum likelihood; Bayesian statistics; posterior distributions; Bayes factor; Monte Carlo; adaptivity; model choice
JEL
C15 - Statistical Simulation Methods: General
C11 - Bayesian Analysis: General