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Monte Carlo Integration and Limit Theorems

  • Eric A. Suess
  • Bruce E. Trumbo
Chapter
Part of the Use R book series (USE R, volume 0)

Abstract

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.

Keywords

Monte Carlo Method Limit Theorem Central Limit Theorem Independent Random Variable Exact Answer 
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Copyright information

© Springer Science+Business Media, LLC 2010

Authors and Affiliations

  1. 1.Department of Statistics and BiostatisticsCalifornia State University, East BayHaywardUSA

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