Efficiency of Monte Carlo computations in very high dimensional spaces
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DOI: 10.1007/s10100-010-0166-3
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- Breslaw, Jon A, 1994. "Evaluation of Multivariate Normal Probability Integrals Using a Low Variance Simulator," The Review of Economics and Statistics, MIT Press, vol. 76(4), pages 673-682, November.
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Keywords
Multidimensional normal distribution; Monte Carlo methods; Probabilities of convex sets; Efficiency of estimators; Comparison of performances;All these keywords.
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