This course aims at presenting the fundamentals of Monte Carlo techniques for statistical inference. The emphasis will be on the techniques rather than on the theory, and these techniques will be illustrated with R codes during the course and implemented during the practical sessions.
Simulation from probability distributions
Integration via Monte Carlo methods
Markov chain Monte Carlo methods
Convergence assessment for MCMC
Robert, C. & Casella, G. (2009) Introducing Monte Carlo Methods with R, Springer