Folks,
Can you point me to any examples of using the GSL library to generate
correlated uniform random variables?
I want to generate correlated defaults among portfolios of loans.
Currently I generate simulations by using rmvsnorm (and then inverting using
the standard normal distribution function). Is there any advantage to using the
GSL functionality to generate the simulations?
Any examples of using Sobol sequences for this type of application.
Please feel free to point me to another site or resource if appropriate.
Thanks,
KW
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