Under certain conditions on the integrand, quasi-Monte Carlo methods for estimating integrals (expectations) converge faster asymptotically than Monte Carlo methods. Motivated by this result we consider the generation of quasirandom vectors with given marginals and given correlation matrix. We extend the "Normal To Anything" (NORTA) method, introduced by Cario and Nelson, to this context, and term the extension the "Quasi-Random to Anything" (QUARTA) method.
Shane G. Henderson, Belinda A. Chiera, Roger M. Co