Advanced Statistical Computing

Resources

R code

Simulating a normal using a random walk Metropolis
Simulating a normal using an independence Metropolis
Distinction between geometric and subgeometric
Illustration of Gibbs sampling

Books on Statistical Computing

Most of these are in our library

Chen, Shau and Ibrahim. Monte Carlo Methods in Bayesian Compuation. Springer.

Chernick. Bootstrap Methods: A Practitioner's Guide. Wiley.

Davison and Hinkley. Bootstrap Methods and Their Application. Cambridge.

Devroye. Non-uniform Random Variate Generation. Springer.

Efron and Tibshirani. An Introduction to the Bootstrap. Chapman and Hall.

Evans and Swartz. Approximating Integrals Via Monte Carlo and Deterministic Methods. Oxford.

Fishman. Monte Carlo: Concepts, Algorithms, and Applications. Springer

Gamerman. Markov Chain Monte Carlo: Stochastic Simulations for Bayesian Inference. CRC.

Gentle. Computational Statistics. Springer

Gentle. Numerical Linear Algebra for Applications in Statistics. Springer

Gentle. Random Number Generation and Monte Carlo Methods. Springer

Gilks, Richardson and Spiegelhalter. Markov Chain Monte Carlo in Practice. Chapman and Hall.

Hall. The Bootstrap and Edgeworth Expansions. Springer.

Hastie, Tibshirani and Friedman. The Elements of Statistical Learning. Springer.

Kennedy and Gentle. Statistical Computing. Marcel Dekker.

Lange. Numerical Analysis for Statisticians. Springer.

Liu. Monte Carlo Strategies in Scientific Computing. Springer.

Manly. Randomization, Bootstrap and Monte Carlo Methods in Biology. CRC.

McLachlan and Krishnan. The EM Algorithm and Extensions. Wiley.

Meyn and Tweedie. Markov Chains and Stochastic Stability. Springer.

Morgan. Elements of Simulation. CRC

Monahan. Numerical Methods of Statistics. Cambridge.

Press, Flannery, Teukolsky, and Vetterling. Numerical Recipes in C: the Art of Scientific Computing. Cambridge.

Ripley. Stochastic Simulation. Wiley.

Robert and Casella. Monte Carlo Statistical Methods.

Rubinstein. Simulation and the Monte Carlo Method. Wiley.

Tanner. Tools for Statistical Inference: ... Springer.

Thisted. Elements of Statistical Computing: Numerical Computation. CRC

Venables and Ripley. Modern Applied Statistics with Splus. Springer.

Venables and Ripley. S Programming. Springer.