Statistical Society of Canada / Société statistique du Canada

Business and Industrial Statistics Section Workshop

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Monte Carlo Methods for Estimation and Optimization

Date

May 31, 2009, 9:00 a.m. – 12:00 p.m.; 1:30 p.m. – 4:00 p.m.

Lecturer

Dr. Don L. McLeish, Department of Statistics and Actuarial Science, University of Waterloo, Canada

Aim of the Workshop

Computer simulation brings the power and flexibility of more realistic complex stochastic models to the desktop of the practitioner and amateur alike. The aim of this workshop is to provide participants with an understanding of stochastic simulation methodology and the extraordinary scope for its applications, explore basic techniques of simulation and variance reduction, and methods for estimation and optimization of noisy systems. Such methods are useful for example in the calibration of financial models, parameter estimation in a complex statistical model and in adaptive optimization techniques.

Topics Include

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