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The Box‐Müller Method for Generating Pseudo‐Random Normal Deviates
Author(s) -
Golder E. R.,
Settle J. G.
Publication year - 1976
Publication title -
journal of the royal statistical society: series c (applied statistics)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.205
H-Index - 72
eISSN - 1467-9876
pISSN - 0035-9254
DOI - 10.2307/2346513
Subject(s) - mathematics , statistics , statistical physics , algorithm , physics
Summary This paper discusses in theoretical and practical terms various methods of generating pseudo‐random normal deviates using the Box‐Müller transformation, laying particular emphasis both on the fit to the theoretical distribution and on the manner in which these methods sample from that distribution. Monte Carlo simulation results relating to these methods are also supplied.