Alternative sampling methods for estimating multivariate normal probabilities
Journal of Econometrics , Volume 120 - Issue 2 p. 207- 234
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 antithetic Monte Carlo samples. Improvements over these are large for low-dimensional (4 and 10) cases and still significant for dimensions as large as 50.
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|Journal of Econometrics|
|Organisation||Erasmus Research Institute of Management|
Sándor, Z, & András, P. (2004). Alternative sampling methods for estimating multivariate normal probabilities. Journal of Econometrics, 120(2), 207–234. doi:10.1016/S0304-4076(03)00212-4