The following pages link to NORTA for portfolio credit risk (Q2288893):
Displaying 3 items.
- C-NORTA: a rejection procedure for sampling from the tail of bivariate NORTA distributions (Q2815446) (← links)
- Efficient correlation matching for fitting discrete multivariate distributions with arbitrary marginals and normal-copula dependence (Q2901049) (← links)
- Behavior of the NORTA method for correlated random vector generation as the dimension increases (Q4564837) (← links)