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.

• Type: Conference
• Year: 2000
• Where: WSC
• Authors: Shane G. Henderson, Belinda A. Chiera, Roger M. Cooke
• Keywords: Carlo Methods, Modeling And Simulation, Normal To Anything, Quasi-monte Carlo Methods, WSC 2000