MCQMC Methods for Multivariate Statistical Distributions

DOI10.1007/978-3-540-74496-2_3zbMath1141.65329OpenAlexW72156344MaRDI QIDQ3504214

A. C. Genz

Publication date: 11 June 2008

Published in: Monte Carlo and Quasi-Monte Carlo Methods 2006 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-74496-2_3

zbMATH Keywords

numerical examplesMonte Carlo methodsquasi-Monte Carlo methodsmultivariate normal distributionmultivariate \(t\) distributionrandomized quasi-Monte Carlo methodsseparation-of-variables transformationsspherical-radial transformations

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Approximations to statistical distributions (nonasymptotic) (62E17)

Uses Software

• AS 195
• MVI3

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