Reading and Computing

We will look at methods of generating random variables from non-uniform distributions. Monahan discusses this in Chapter 11. You should also read Chapter 6 in Givens and Hoeting through 6.2.3. We will also look at methods of generating random vectors. Monahan has some discussion of this in Chapter 11. Towards the end of the week we may also start to look at variance reduction ideas. Givens and Hoeting discuss these in Section 7.3.

You should look at the facilities R provides for generating variates from standard distributions (rnorm, rgamma, etc.). Some less common distributions are supported by packages on CRAN. You should look at the facilities R provides for generating multivariate normal random vectors and ARIMA time series. The help.search function can show you what is available.