Generating ``dependent'' quasi-random numbers. Henderson, S., Chiera, B., & Cooke, R. In Joines, J., Barton, R., Kang, K., & Fishwick, P., editors, *Proceedings of the 2000 Winter Simulation Conference*, pages 527–536, Piscataway NJ, 2000. IEEE.

Paper abstract bibtex

Paper abstract bibtex

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 quasi-random 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.

@inproceedings{henchicoo00wsc, abstract = {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 quasi-random 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.}, address = {Piscataway NJ}, author = {Henderson,S.~G. and Chiera,B.~A. and Cooke,R.~M.}, booktitle = {Proceedings of the 2000 Winter Simulation Conference}, date-added = {2016-01-10 16:07:54 +0000}, date-modified = {2016-01-10 16:07:54 +0000}, editor = {Joines,J.~A. and Barton,R.~R. and Kang,K. and Fishwick,P.~A.}, pages = {527--536}, publisher = {IEEE}, title = {Generating ``dependent'' quasi-random numbers}, url_paper = {pubs/depqrn.pdf}, year = 2000}

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