Hörmann, Wolfgang; Sak, Halis - In: Mathematics and Computers in Simulation (MATCOM) 81 (2010) 4, pp. 782-790
The standard method for generating multi-t vectors is simple and convenient but it has the disadvantage that the generated multi-normal and multi-t vectors are not similar. For t-copula models this destroys much of the variance reduction when using the result of the multi-normal model as...