Computational Statistics


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
Convergence assessment
Integration via Monte Carlo methods
Stochastic optimisation
Markov chain Monte Carlo methods
Gibbs sampling
Convergence assessment for MCMC


Robert, C. & Casella, G. (2009) Introducing Monte Carlo Methods with R, Springer