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19

WSC
2000

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112views Modeling And Simulation» more WSC 2000»

Generating "dependent" quasi-random numbers

13 years 5 months ago

Generating "dependent" quasi-random numbers

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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

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Carlo Methods | Modeling And Simulation | Normal To Anything | Quasi-monte Carlo Methods | WSC 2000 |

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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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