98-10-22.ley-leeb-wh
Higher-Dimensional Properties of Non-Uniform Pseudo-Random Variates
Abstract
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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Josef.Leydold@statistik.wu-wien.ac.at