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