Monte Carlo Integration and Limit Theorems
In Chapter 1, we did a few simulations by sampling from finite populations. In Chapter 2, we discussed (pseudo)random numbers and the simulation of some familiar discrete and continuous distributions. In this chapter, we investigate how simulation is used to approximate integrals and what some fundamental limit theorems of probability theory have to say about the accuracy of these approximations. Section 3.1 sets the stage with elementary examples that illustrate some methods of integration.
KeywordsMonte Carlo Method Limit Theorem Central Limit Theorem Independent Random Variable Exact Answer
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