Higher-Dimensional Properties of Non-Uniform Pseudo-Random Variates

Josef Leydold, Hannes Leeb and Wolfgang Hörmann


In this paper we present the results of a first empirical investigation on how the quality of non-uniform variates is influenced by the underlying uniform RNG and the transformation method used. We use well known standard RNGs and transformation methods to the normal distribution as examples. We find that except for transformed density rejection methods, which do not seem to introduce any additional defects, the quality of the underlying uniform RNG can be both increased and decreased by transformations to non-uniform distributions.

CR Categories and Subject Descriptors: G.3 [Probability and Statistics]: Random number generation

Key Words: random number generation, non-uniform, empirical tests

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