93-09-15.wh
The Quality of Non-uniform Random Numbers
Abstract
The quality of non-uniform random numbers is not only
influenced by the quality of the uniform generator that is used but
also by the transformation method applied to the uniform random
numbers. This differences in quality between ``exact'' methods were
almost entirely neglected in literature. So we compare the behaviour
of four different transformation methods when combined with a linear
congruential uniform generator (LCG). Heuristic considerations, the
computation of two measures of approximation and a statistical test show
that the inversion method performs best. Among the others rejection,
when combined with a LCG with small multiplier, and ratio of uniforms
perform worse. Their use could slightly change the results of
some simulation studies.
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:
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Wolfgang.Hoermann@statistik.wu-wien.ac.at