J. E. Gentle W. Hardie Y. Mori (Editors) Computational Statistics Concepts and Methods ~ Springer Editors Jamts £. Gtntft Wolfgang Hardlt GffirgtMason University Humboldt-Universitlil tu Berlin Center forComputOllionalStalistics WirtschaflSwissenschaftliche Fakultlit Fairfn.VA 22Q30-4444 InSlilut rurSlatistik undOkonometrie USA SpandauerSir. 1 t-mOlil:[email protected] 10178Berlin Germany e-mOlil:[email protected] Yuichi Mor; Okayama UniversityofScience DepartmentofSocio-Jnformalion I-I Ridai-cho Okayama 700-0005 Japan e-mail: [email protected] l.ilJrary of Congreu Comrol Number: 2004106523 ISBN 3-540-40464-3 Springer Berlin Heidelberg New York "0", work il IUbj«1 10copyngln. 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Schrnit!l S: Vlkkler GbR. l.eip..g C..""rJ~.;gn"ltd produr"'m: deblik. ~rhn f'rmled"nacid-rr~paper ~OIll~21YL S~l 2 I0 Table of Contents I.ComputationalStatistics I.1ComputationalStatistics:AnIntroduction JamesE.Gentle,WolfgangHärdle,YuichiMori..................................3 II.StatisticalComputing II.1BasicComputationalAlgorithms JohnMonahan................................................................19 II.2RandomNumberGeneration PierreL’Ecuyer................................................................35 II.3MarkovChainMonteCarloTechnology SiddharthaChib..............................................................71 II.4NumericalLinearAlgebra LenkaCˇízˇková,PavelCˇízˇek..................................................103 II.5TheEMAlgorithm ShuKayNg,ThriyambakamKrishnan,GeoffreyJ.McLachlan.................137 II.6StochasticOptimization JamesC.Spall................................................................169 II.7TransformsinStatistics BraniVidakovic.............................................................199 II.8ParallelComputingTechniques JunjiNakano................................................................237 II.9StatisticalDatabases ClausBoyens,OliverGünther,Hans-J.Lenz...................................267 II.10InteractiveandDynamicGraphics JürgenSymanzik.............................................................293 VI TableofContents II.11TheGrammarofGraphics LelandWilkinson............................................................337 II.12StatisticalUserInterfaces SigbertKlinke................................................................379 II.13ObjectOrientedComputing MiroslavVirius..............................................................403 III.StatisticalMethodology III.1ModelSelection YuedongWang...............................................................437 III.2BootstrapandResampling EnnoMammen,SwagataNandi..............................................467 III.3DesignandAnalysisofMonteCarloExperiments JackP.C.Kleijnen............................................................497 III.4MultivariateDensityEstimationandVisualization DavidW.Scott...............................................................517 III.5Smoothing:LocalRegressionTechniques CatherineLoader............................................................539 III.6DimensionReductionMethods MasahiroMizuta............................................................565 III.7GeneralizedLinearModels MarleneMüller..............................................................591 III.8(Non)LinearRegressionModeling PavelCˇízˇek..................................................................621 III.9RobustStatistics LaurieDavies,UrsulaGather................................................655 III.10SemiparametricModels JoelL.Horowitz..............................................................697 III.11BayesianComputationalMethods ChristianP.Robert...........................................................719 III.12ComputationalMethodsinSurvivalAnalysis ToshinariKamakura.........................................................767 III.13DataandKnowledgeMining AdalbertWilhelm............................................................787 III.14RecursivePartitioningandTree-basedMethods HepingZhang................................................................813 III.15SupportVectorMachines SebastianMika,ChristinSchäfer,PavelLaskov,DavidTax, Klaus-RobertMüller.........................................................841 III.16Bagging,BoostingandEnsembleMethods PeterBu¨hlmann .............................................................877 TableofContents VII IV.SelectedApplications IV.1ComputationallyIntensiveValueatRiskCalculations RafałWeron.................................................................911 IV.2Econometrics LucBauwens,JeroenV.K.Rombouts..........................................951 IV.3StatisticalandComputationalGeometryofBiomolecularStructure IosifI.Vaisman..............................................................981 IV.4FunctionalMagneticResonanceImaging WilliamF.Eddy,RebeccaL.McNamee.......................................1001 IV.5NetworkIntrusionDetection DavidJ.Marchette..........................................................1029 SubjectIndex ............................................................. 1053 List of Contributors LucBauwens LenkaCˇízˇková UniversitécatholiquedeLouvain CzechTechnicalUniversityinPrague COREandDepartmentofEconomics FacultyofNuclearSciences Belgium andPhysicalEngineering [email protected] TheCzechRepublic [email protected] ClausBoyens Humboldt-UniversitätzuBerlin LaurieDavies InstitutfürWirtschaftsinformatik UniversityofEssen WirtschaftswissenschaftlicheFakultät DepartmentofMathematics Germany Germany [email protected] PeterBühlmann ETHZürich WilliamF.Eddy SeminarfürStatistik CarnegieMellonUniversity Switzerland DepartmentofStatistics [email protected] USA [email protected] SiddharthaChib WashingtonUniversityinSaintLouis UrsulaGather JohnM.OlinSchoolofBusiness UniversityofDortmund [email protected] DepartmentofStatistics Germany [email protected] PavelCˇízˇek TilburgUniversity DepartmentofEconometrics& JamesE.Gentle OperationsResearch GeorgeMasonUniversity TheNetherlands USA [email protected] [email protected] X ListofContributors OliverGünther PavelLaskov Humboldt-UniversitätzuBerlin FraunhoferFIRST InstitutfürWirtschaftsinformatik DepartmentIDA WirtschaftswissenschaftlicheFakultät Germany Germany laskov@first.fhg.de WolfgangHärdle PierreL’Ecuyer Humboldt-UniversitätzuBerlin UniversitédeMontréal WirtschaftswissenschaftlicheFakultät GERADand InstitutfürStatistikundÖkonometrie Départementd’informatique Germany etderechercheopérationnelle [email protected] Canada JoelL.Horowitz Hans-J.Lenz NorthwesternUniversity FreieUniversitätBerlin DepartmentofEconomics FachbereichWirtschaftswissenschaft USA InstitutfürProduktion, Wirtschaftsinformatik ToshinariKamakura undOperationsResearchund ChuoUniversity InstitutfürStatistikundÖkonometrie Japan Germany [email protected] CatherineLoader JackP.C.Kleijnen CaseWesternReserveUniversity TilburgUniversity DepartmentofStatistics DepartmentofInformationSystems USA andManagement [email protected] CenterforEconomicResearch(CentER) TheNetherlands EnnoMammen [email protected] UniversityofMannheim DepartmentofEconomics SigbertKlinke Germany Humboldt-UniversitätzuBerlin [email protected] WirtschaftswissenschaftlicheFakultät InstitutfürStatistikundÖkonometrie Germany DavidJ.Marchette [email protected] JohnHopkinsUniversity WhitingSchoolofEngineering USA ThriyambakamKrishnan [email protected] SystatSoftwareAsia-PacificLtd. Bangalore India GeoffreyJ.McLachlan [email protected] UniversityofQueensland ListofContributors XI DepartmentofMathematics and Australia UniversityPotsdam [email protected] DepartmentofComputerScience Germany RebeccaL.McNamee UniversityofPittsburgh MarleneMüller USA FraunhoferITWM [email protected] Germany [email protected] SebastianMika idalabGmbH JunjiNakano Germany TheInstitute [email protected] ofStatisticalMathematics and Japan FraunhoferFIRST [email protected] DepartmentIDA Germany mika@first.fhg.de SwagataNandi UniversityHeidelberg MasahiroMizuta InstituteofAppliedMathematics HokkaidoUniversity Germany InformationInitiativeCenter [email protected] Japan [email protected] ShuKayNg UniversityofQueensland JohnMonahan DepartmentofMathematics NorthCarolinaStateUniversity Australia DepartmentofStatistics [email protected] USA [email protected] ChristianP.Robert UniversitéParisDauphine YuichiMori CERMADE OkayamaUniversityofScience France DepartmentofSocioinformation christian.robert Japan @ceremade.dauphine.fr [email protected] Klaus-RobertMüller JeroenV.K.Rombouts FraunhoferFIRST UniversitécatholiquedeLouvain DepartmentIDA COREandDepartmentofEconomics Germany Belgium klaus@first.fhg.de [email protected] XII ListofContributors ChristinSchäfer USA FraunhoferFIRST [email protected] DepartmentIDA Germany MiroslavVirius christin@first.fhg.de CzechTechnicalUniversityinPrague FacultyofNuclearSciences andPhysicalEngineering DavidW.Scott CzechRepublic RiceUniversity [email protected]fi.cvut.cz DepartmentofStatistics USA [email protected] YuedongWang UniversityofCalifornia DepartmentofStatistics JamesC.Spall andAppliedProbability TheJohnsHopkinsUniversity USA AppliedPhysicsLaboratory [email protected] USA [email protected] RafaäWeron HugoSteinhausCenter forStochasticMethods JürgenSymanzik WrocławUniversityofTechnology UtahStateUniversity Poland DepartmentofMathematics [email protected] andStatistics USA [email protected] AdalbertWilhelm InternationalUniversityBremen SchoolofHumanities DavidTax andSocialSciences DelftUniversityofTechnology Germany TheNetherlands [email protected] LelandWilkinson IosifI.Vaisman SPSSInc.andNorthwesternUniversity GeorgeMasonUniversity USA SchoolofComputationalSciences [email protected] USA [email protected] HepingZhang YaleUniversitySchoolofMedicine BraniVidakovic DepartmentofEpidemiology SchoolofIndustrial andPublicHealth andSystemsEngineering USA GeorgiaInstituteofTechnology [email protected]