Generating "dependent" quasi-random numbers

Authors:
Shane G. Henderson;Belinda A. Chiera;Roger M. Cooke
Affiliations:
University of Michigan, Ann Arbor, MI;Delft University of Technology, The Netherlands;Delft University of Technology, The Netherlands
Venue:
Proceedings of the 32nd conference on Winter simulation
Year:
2000

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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.