Statistical Computation and Simulation

Preface

This project develops notes on statistical computation and simulation, covering core methods in optimization, Monte Carlo techniques, and Markov chain Monte Carlo (MCMC).

Code implementations and applied examples will be added in future updates. Feedback is welcome.

Topics

• Review: basics
• Solving linear systems
• Eigen-decomposition, SVD
• Principal components
• Basics of optimization
• Gradient descent
• Modern optimization
• Random variable generation
• Monte_Carlo_Integration
• EM Algorithm
• Simulated Annealing
• Basic Metropolis
• MCMC
• MCMC2
• RJMCMC
• HMC

License