Statistical Computation

3 units

Introduction to modern computational statistics. Pseudo-random number generators; inverse transform and rejection sampling. Monte Carlo approximation. Nonparametric bootstrap procedures for bias and variance estimation; bootstrap confidence intervals. Markov chain Monte Carlo methods; Gibbs and Metropolis-Hastings sampling; tuning and convergence diagnostics. Cross-validation. Time permitting, optional topics include numerical analysis in R, density estimation, permutation tests, subsampling, and graphical models. Prior knowledge of R at the level used in Math 494 is required.