Geyer, Alois; Hanke, Michael; Weissensteiner, Alex - In: Journal of Economic Dynamics and Control 45 (2014) C, pp. 66-79
Ledermann et al. (2011) propose random orthogonal matrix (ROM) simulation for generating multivariate samples matching means and covariances exactly. Its computational efficiency compared to standard Monte Carlo methods makes it an interesting alternative. In this paper we enhance this method׳s...