XploRe Help : lowdiscrepancy

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library:	finance
See also:	randomnumbers randomize uniform

Quantlet:		lowdiscrepancy
Description:		computes the first n d-dimensional sequence elements of the low-discrepancy generator seqnum.

Reference(s):

Niederreiter, H. (1992). Random Number Generation and Quasi-Monte Carlo Methods. Capital City Press, Monpellier Vermont.

Link:

Applied Quantitative Finance

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

Example:

library("finance") lowdiscrepancy(0,3,4)

Result:

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

Author: J. Schumacher, W. Haerdle, 20020214 license MD*Tech