2003-03.tir-etal
An Error in the Kinderman-Ramage Method and How to Fix It
Abstract
An error in the Gaussian random variate generator by
Kinderman and Ramage is described that results in the
generation of random variates with an incorrect
distribution. An additional statement that corrects the original
algorithm is given.
Mathematics Subject Classification:
65C10 (Random Number Generation)
CR Categories and Subject Descriptors:
G.3 [Probability and Statistics]: Random number generation
General Terms:
Algorithms
Key Words:
Gaussian random variate generation
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Josef.Leydold@statistik.wu-wien.ac.at