[R] Off Topic Simulation Techniques.

Charles Annis, P.E. Charles.Annis at StatisticalEngineering.com
Wed Jul 27 16:14:12 CEST 2005

_Monte Carlo Statistical Methods_
by Christian P. Robert, George Casella
Springer, 2nd ed 2005

This book (I have edition 1) is a dandy.  It will be rough sledding unless
you have a reasonable background in math stats but I think it is just what
you are looking for.

Charles Annis, P.E.

Charles.Annis at StatisticalEngineering.com
phone: 561-352-9699
eFax:  614-455-3265

-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Campbell
Sent: Wednesday, July 27, 2005 9:47 AM
To: r-help
Cc: phineas
Subject: [R] Off Topic Simulation Techniques.

I wonder if anyone can help me find a text or reference to the
probabilistic under pinnings of simulation techniques.  I come from an
econometrics background where the approach to Monte Carlo is a bit cook
booky, most of the focus is on the implementation rather than the
theoretical justification.  

Given a standard setup; a probability triple, random variable and a
functional on this random variable, we need to find the measure on the
functional.  This measure can be approximated by the ECDF, which is the
counting measure.  Asymptotically the counting measure must coincide
with the measure on the functional.  Are there any authors who have
followed this approach?

Phineas Campbell

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