4 papers
Density Estimation by Monte Carlo and Quasi-Monte Carlo
Pierre L'Ecuyer, Florian Puchhammer
Estimating the density of a continuous random variable X has been studied extensively in statistics, in the setting where n independent observations of X are given a priori and one…
A Tool for Custom Construction of QMC and RQMC Point Sets
Pierre L'Ecuyer, Pierre Marion, Maxime Godin +1
We present LatNet Builder, a software tool to find good parameters for lattice rules, polynomial lattice rules, and digital nets in base 2, for quasi-Monte Carlo (QMC) and randomiz…
Array-RQMC for option pricing under stochastic volatility models
Amal Ben Abdellah, Pierre L'Ecuyer, Florian Puchhammer
Array-RQMC has been proposed as a way to effectively apply randomized quasi-Monte Carlo (RQMC) when simulating a Markov chain over a large number of steps to estimate an expected c…
Density estimation by Randomized Quasi-Monte Carlo
Amal Ben Abdellah, Pierre L'Ecuyer, Art B. Owen +1
We consider the problem of estimating the density of a random variable that can be sampled exactly by Monte Carlo (MC). We investigate the effectiveness of replacing MC by rand…