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2000

Generating "dependent" quasi-random numbers

14 years 7 days ago
Generating "dependent" quasi-random numbers
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
Added 01 Nov 2010
Updated 01 Nov 2010
Type Conference
Year 2000
Where WSC
Authors Shane G. Henderson, Belinda A. Chiera, Roger M. Cooke
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