Numerical analysis for statisticians

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Numerical analysis for statisticians (scientific article; zbMATH DE number 1300858)





This book presents a biased selection of those topics in theoretical numerical analysis that are most relevant to computational statistics. Influenced by the rapid evolution of the field of computational statistics, the author focused mainly on principles of numerical analysis, necessary to the students to understand the advantages and disadvantages of different numerical methods and to be able to craft their own software. Ranging from classical topics to most recent and up-to-date ones, proposing interesting exercises of variable difficulty at the end of each chapter, this textbook covers the author's deep science of the field and results in a valuable and most useful paper for a large spectrum of potential users. Since there is no room to describe the contents in detail we restrict only to list the titles of the 24 enclosed chapters, in order to give to the reader at least the flavour of the discussed topics: (1) Recurrence relations; (2) Power series expansions; (3) Continued fraction expansions; (4) Asymptotic expansions; (5) Solution of nonlinear equations; (6) Vector and matrix norms; (7) Linear regression and matrix inversion; (8) Eigenvalues and eigenvectors; (9) Splines; (10) The EM algorithm; (11) Newton's method and scoring; (12) Variations on the EM theme; (13) Convergence of optimization algorithms; (14) Constrained optimization; (15) Concrete Hilbert spaces; (16) Quadrature methods; (17) The Fourier transform; (18) The finite Fourier transform; (19) Wavelets; (20) Generating random deviates; (21) Independent Monte Carlo; (22) Bootstrap calculations; (23) Finite state Markov chains; (24) Markov chain Monte Carlo.




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