MCQMC Methods for Multivariate Statistical Distributions

Alan Genz ()
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Alan Genz: Washington State University, Mathematics Department

A chapter in Monte Carlo and Quasi-Monte Carlo Methods 2006, 2008, pp 35-52 from Springer

Abstract: Summary A review and comparison is presented for the use of Monte Carlo and Quasi-Monte Carlo methods for multivariate Normal and multivariate t distribution computation problems. Spherical-radial transformations, and separation-of-variables transformations for these problems are considered. The use of various Monte Carlo methods, Quasi-Monte Carlo methods and randomized Quasi-Monte Carlo methods are discussed for the different problem formulations and test results are summarized.

Keywords: Monte Carlo; Cholesky Factor; Lattice Rule; Antithetic Variate; Multivariate Normal Probability (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-74496-2_3

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DOI: 10.1007/978-3-540-74496-2_3

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