Calculation of Quasi Monte Carlo Integration Points
This function calculates integration nodes based on the multivariate normal distribution with zero mean vector and identity covariance matrix. See Pan and Thompson (2007) and Gonzales et al. (2006) for details.
qmc.nodes(snodes, ndim)
snodes |
Number of integration nodes |
ndim |
Number of dimensions |
theta |
A matrix of integration points |
This function uses the
sfsmisc::QUnif
function from
the sfsmisc package.
Gonzalez, J., Tuerlinckx, F., De Boeck, P., & Cools, R. (2006). Numerical integration in logistic-normal models. Computational Statistics & Data Analysis, 51, 1535-1548.
Pan, J., & Thompson, R. (2007). Quasi-Monte Carlo estimation in generalized linear mixed models. Computational Statistics & Data Analysis, 51, 5765-5775.
## some toy examples # 5 nodes on one dimension qmc.nodes( snodes=5, ndim=1 ) ## [,1] ## [1,] 0.0000000 ## [2,] -0.3863753 ## [3,] 0.8409238 ## [4,] -0.8426682 ## [5,] 0.3850568 # 7 nodes on two dimensions qmc.nodes( snodes=7, ndim=2 ) ## [,1] [,2] ## [1,] 0.00000000 -0.43072730 ## [2,] -0.38637529 0.79736332 ## [3,] 0.84092380 -1.73230641 ## [4,] -0.84266815 -0.03840544 ## [5,] 0.38505683 1.51466109 ## [6,] -0.00122394 -0.86704605 ## [7,] 1.35539115 0.33491073
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