Now showing items 1-1 of 1

    • T-Copula Generation For Control Variates 

      Hormann, Wolfgang; Sak, Halis (Elsevier Science Bv, Po Box 211, 1000 Ae Amsterdam, Netherlands, 2010-12)
      The standard method for generating multi-t vectors is simple and convenient but it has the disadvantage that the generated multi-normal and multi-t vectors are not similar. For t-copula models this destroys much of the ...