Monte Carlo Methods

4 Credits.

The objective of the course is to survey essential simulation techniques for popular stochastic models. The stochastic models may include classical time-series models, Markov chains and diffusion models. The basic simulation techniques covered will be useful in sample-generation of random variables, vectors and stochastic processes, and as advanced techniques, importance sampling, particle filtering and Bayesian computation may be discussed. Recommended Course Background: EN.553.630 .