Library: | finance |
See also: | randomnumbers randomize uniform |
Quantlet: | lowdiscrepancy | |
Description: | computes the first n d-dimensional sequence elements of the low-discrepancy generator seqnum. |
Usage: | p = lowdiscrepancy(seqnum,d,n) | |
Input: | ||
seqnum | scalar, number of the low-discrepancy generator seqnum = 0, Halton sequence seqnum = 1, Sobol sequence seqnum = 2, Faure sequence seqnum = 3, Niederreiter sequence | |
d | scalar, dimension of the sequence elements | |
n | scalar, number of elements generated | |
Output: | ||
p | d x n matrix, the elements of the sequence |
library("finance") lowdiscrepancy(0,3,4)
Contents of p [1,] 0.5 0.25 0.75 0.125 [2,] 0.33333 0.66667 0.11111 0.44444 [3,] 0.2 0.4 0.6 0.8