Statistics 606: Computational Statistics

Notes:

Sorting algorithms
Finding roots
Interpolation and smoothing
Quadrature
Enumerations
Optimization
Estimation review
Basic random number generation
Markov chain Monte Carlo

Problem sets:

Problem set 1 (solutions)
Problem set 2, 2006_2.m (solutions)
Problem set 3 (solutions) 2006_3.m
Problem set 4

Octave (Matlab) code examples

octave_examples_1.m
steepest_ascent.m
Conj_Grad.m
EM_finite_mixture.m
opt_constrained.m
collapsed.m
bayes_locscale.m

C code examples:

C-examples-1.c
C-examples-2.c
C-examples-3.c
C-examples-4.c
C-examples-5.c
straight-sort.c
heapsort.c
quicksort.c
heap-index-sort.c
roots.c
newton_cotes.c
enumerate.c
line_search.c
read-table.c
annealing.c
mh_rw.c

Quadrature points and weights:

2 points
4 points
8 points
16 points
32 points

References:

Books
Kenneth Lange, Numerical analysis for statisticians
Kenneth Lange, Optimization
G. Golub, C. van Loan, Matrix Computations

Matlab/Octave
Octave documentation (mostly applies to Matlab as well)

C
Gnu scientific library (GSL) documentation
libc documentation
GCC documentation
Glib documentation

Software
Download Octave here
Download the GSL (c library for numerical computing) here

Unix
Unix core utilities documentation
Bash documentation