MCQMC Methods for Multivariate Statistical Distributions

DOI10.1007/978-3-540-74496-2_3MaRDI QIDQ3504214zbMATH OpenOpenAlexFDO

Authors A. 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

Monte Carlo methodsmultivariate \(t\) distributionmultivariate normal distributionnumerical examplesquasi-Monte Carlo methodsrandomized quasi-Monte Carlo methodsseparation-of-variables transformationsspherical-radial transformations

Mathematics Subject Classification ID

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

Recommendations

• THE MONTE CARLO EVALUATION OF ORTHANT PROBABILITIES FOR MULTIVARIATE NORMAL DISTRIBUTIONS
• Using Box-Muller with Low Discrepancy Points
• Computation of multivariate normal and t probabilities
• On spherical Monte Carlo simulations for multivariate normal probabilities
• A New Family of Multivariate Distributions With Applications to Monte Carlo Studies

Cited in

(8)

• Monte Carlo EM estimation for multivariate stable distributions
• Three kinds of discrete approximations of statistical multivariate distributions and their applications
• On spherical Monte Carlo simulations for multivariate normal probabilities
• A New Family of Multivariate Distributions With Applications to Monte Carlo Studies
• Multicanonical MCMC for sampling rare events: an illustrative review
• Multivariate output analysis for Markov chain Monte Carlo
• Normal variance mixtures: distribution, density and parameter estimation
• MCMC algorithms for constrained variance matrices

Describes a project that uses

Uses Software

• AS 195
• MVI3

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