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Randomized dimension reduction for Monte Carlo simulations

Kahalé, Nabil - In: Management science : journal of the Institute for … 66 (2020) 3, pp. 1421-1439

Persistent link: https://www.econbiz.de/10012234611

On the distribution of sums of random variables with copula-induced dependence

Gijbels, Irène; Herrmann, Klaus - In: Insurance / Mathematics & economics 59 (2014), pp. 27-44

Persistent link: https://www.econbiz.de/10010469189

Acceptance sampling for attributes via hypothesis testing and the hypergeometric distribution

Samohyl, Robert Wayne - In: Journal of industrial engineering international 14 (2018) 2, pp. 395-414

. First, by suggesting the use of the hypergeometric distribution to calculate the parameters of sampling plans avoiding the …, discrepancies can be large. The conclusion is that the hypergeometric distribution, ubiquitously available in commonly used software …

Persistent link: https://www.econbiz.de/10011871320

Latin hypercube sampling with dependence and applications in finance

Packham, Natalie; Schmidt, Wolfgang M. - 2008

In Monte Carlo simulation, Latin hypercube sampling (LHS) [McKay et al. (1979)] is a well-known variance reduction technique for vectors of independent random variables. The method presented here, Latin hypercube sampling with dependence (LHSD), extends LHS to vectors of dependent random...

Persistent link: https://www.econbiz.de/10010301705