UMR CNRS 7253

Thierry Denoeux
Thierry Denoeux
Thierry Denoeux
Thierry Denoeux
Thierry Denoeux

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Computational Statistics

Instructor: Thierry Denoeux

Description: This course will present the main modern and classical methods of statistical computing, with examples from econometrics. The course will be composed of six chapters structured in two main parts introducing the foundations of statistical computing. Computer projects will be proposed using the R statistical software.

Program

  1. Part I: Optimization
    1. Continuous optimization
    2. Combinatorial optimization
    3. EM algorithm
  2. Part II: Simulation
    1. Classical simulation methods
    2. Markov-Chain Monte Carlo
    3. Bootstrap

Recommended reading: Computational Statistics book by Givens and Hoeting

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