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Computational Methods in Statistics and Econometrics
Publisher: Marcel Dekker | Author: Hisashi Tanizaki
Order Number: OTH 3613 | ISBN: 0-8247-4804-2
Details: 2004; 480 Pages; Hard Cover
Reflecting current technological capacities and analytical trends, Computational Methods in Statistics and Econometrics showcases Monte Carlo and nonparametric statistical methods for models, simulations, analyses, and interpretations of statistical and econometric data—benefiting from straightforward explanations of mathematical concepts, hundreds of figures and tables, and a range of empirical examples. Explores applications of Monte Carlo methods in Bayesian estimation, state space modeling, and bias correction of ordinary least squares in autoregressive models. Accompanied by a CD-ROM displaying all source codes used in the text, Computational Methods in Statistics and Econometrics *offers a comprehensive review of introductory notions in statistics such as variable transformation, statistical inference, hypothesis testing, and regression analysis *authoritatively illuminates the fundamental topic of uniform random number generation *demonstrates the generation of diverse continuous- and discrete-type random draws, from gamma, t, and F to Bernoulli and binomial distributions *explains the inverse transform method for use with Laplace, Cauchy, and other distributions *details random draw approaches for multivariate distributions *describes random number generation via importance and rejection sampling methods and the Metropolis-Hastings algorithm *outlines nonparametric methods for finding the difference between two sample means, including logistic and Cauchy score tests and Fisher’s randomization test *compares power and asymptotic relative efficacy of results obtained through nonparametric tests versus the t test *considers Monte Carlo and nonparametric methods for testing correlation and regression coefficients and establishing the independence of two samples. Table of Contents: Elements of Statistics *Monte Carlo Statistical Methods: Random Number Generation I; Random Number Generation II *Selected Applications of Monte Carlo Methods: Bayesian Estimation; Bias Correction of OLSE in AE Models; State Space Modeling *Nonparametric Statistical Methods: Difference Between; Two-Sample Means; Independence Between Two Samples; Source Code Index; Index.
| Price: £132.00 |
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