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MCQMC Methods for Multivariate Statistical Distributions

In: Monte Carlo and Quasi-Monte Carlo Methods 2006

Author

Listed:
  • Alan Genz

    (Washington State University, Mathematics Department)

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.

Suggested Citation

  • Alan Genz, 2008. "MCQMC Methods for Multivariate Statistical Distributions," Springer Books, in: Alexander Keller & Stefan Heinrich & Harald Niederreiter (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2006, pages 35-52, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-74496-2_3
    DOI: 10.1007/978-3-540-74496-2_3
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