ST810: Statistical Simulation (5 ECTS)

STADS: 25001001

Level
Master's level course

Teaching period
The course is offered in the autumn semester.

Teacher responsible
Email: yuri.goegebeur@stat.sdu.dk

Timetable
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Comment:
Sammenlæses med ST505. Ordinær eksamen torsdag d. 7. november.

Prerequisites:
None

Academic preconditions:
The contents of one of the courses ST501 SCIENCE STATISTICS, ST503 STATISTICS FOR BIOLOGISTS, ST517 Probability and random variables or ST518 Probability and random variables for computer science must be known.

Course introduction
To introduce statistical simulation as a tool to investigate stochastic phenomena and statistical methods, and to perform statistical inference. The participants will learn to use the statistical package R to carry out simulation studies.

Qualifications
The participants will learn how to generate random data from different distributions on the computer, to carry out, analyze and interpret simulation results, to use simulation methods to calculate p values and confidence intervals, to simulate complex systems and investigate their properties, to evaluate properties of statistical methods by use of simulation, to approximate integrals by means of simulation methods.

Expected learning outcome
After having followed the course the student should be able to



• reproduce key theoretical results concerning elementary operations on random variables and to apply these to simple theoretical assignments 

• reproduce and apply the fundamental theorems of random variate generation 

• simulate variates from the most common distributions 

• evaluate the quality of a random number generator 

• apply the basic principles of variance reduction 

• simulate complex systems and investigate their properties 

• use simulation to approximate integrals 

• use simulation to compute p-values and confidence intervals 

• investigate properties of statistical procedures and estimators using simulation 

• perform programming relevant to the content of the course in the statistical package used in the course 

• identify and interpret relevant information in the output of the statistical package used in the course 

• summarize the results of an analysis in a statistical report

Subject overview
Random number generators, inversion method, rejection sampling, permutation and randomization tests, transformations, simulation of experiments and complex systems, Monte Carlo integration, simulation of stochastic processes.

Literature
There isn't any litterature for the course at the moment.

Website
This course uses e-learn (blackboard).

Prerequisites for participating in the exam
None

Assessment and marking:
Oral exam, Danish 7-point scale, internal examiner. A project is made during the course, which results in the oral exam at the end of the course. (25001002)

reexam in the same exam period or immediately thereafter. The reexam may differ form the ordinary exam

Expected working hours
The teaching method is based on three phase model.
Intro phase: 28 hours
Skills training phase: 22 hours, hereof:
 - Tutorials: 10 hours
 - Laboratory exercises: 12 hours

Educational activities Study phase: 10 hours

Language
This course is taught in English.

Remarks
This course i taught together with ST505 Statistical Simulation

Course enrollment
See deadline of enrolment.

Tuition fees for single courses
See fees for single courses.