Alternative sampling methods for estimating multivariate normal probabilities

@inproceedings{andora2004AlternativeSM,
  title={Alternative sampling methods for estimating multivariate normal probabilities},
  author={Zsolt S andora},
  year={2004}
}
  • Zsolt S andora
  • Published 2004
We study the performance of alternative sampling methods for estimating multivariate normal probabilities through the GHK simulator. The sampling methods are randomized versions of some quasi-Monte Carlo samples (Halton, Niederreiter, Niederreiter–Xing sequences and lattice points) and some samples based on orthogonal arrays (Latin hypercube, orthogonal array and orthogonal array based Latin hypercube samples). In general, these samples turn out to have a better performance than Monte Carlo and… CONTINUE READING

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