Monte Carlo Methods

One of the classes I have most enjoyed teaching has been Monte Carlo methods. To undergraduate statistics students, this course can seem pretty intimidating and technical from the outset. Some of this hesitation is certainly understandable – after all, how can you describe the essence of Monte Carlo algorithms to people outside of STEM? However, there is so much intuition and common sense in the way most Monte Carlo algorithms are designed that I think it’s about time this misconception is laid to rest.

I have included some of my notes on various topics related to Monte Carlo algorithms. I hope they prove useful to anyone trying to demystify an incredibly important and indispensable tool that belongs in every data scientist’s toolbox.

Statistical Computing and Programming

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