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MathGroup Archive 1997

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Re: Monte Carlo

  • To: mathgroup at smc.vnet.net
  • Subject: [mg7594] Re: Monte Carlo
  • From: "H.J. Wang" <hungjen at umich.edu>
  • Date: Thu, 19 Jun 1997 03:13:56 -0400 (EDT)
  • Organization: University of Michigan
  • Sender: owner-wri-mathgroup at wolfram.com

John Rogers wrote:
> 
> I am interested in using Mathematica 3.0 for developing a simple Monte
> Carlo simulation.  For example, I would like to write a routine that
> would solve the following: y = f(x1,x2,...,xn); where the xn's are
> independent random variables with known statistical properties such as
> the mean, standard deviation, and the probability distribtion function.
> I would like to determine the following statistical characteristics of
> y: probability density function, cumulative density function, mean, and
> variance.  Email is havridm at msfcmail.msfc.nasa.gov or
> Donna.Havrisik at msfc.nasa.gov

A good presentation of Monte Carlo is given by David Belsley, "Doing
Monte Carlo Studies with Mathematica," in Computational Economics and
Finance, edited by Hal Varian.

H.J. Wang


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