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The quality of non-uniform random numbers

Hörmann, Wolfgang (1993) The quality of non-uniform random numbers. Preprint Series / Department of Applied Statistics and Data Processing, 7. Institut für Statistik und Mathematik, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business, Vienna.

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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. (author's abstract)

Item Type: Paper
Additional Information: In: H. Dyckhoff et al, editors, Operations Research Prodeedings 1993, pp. 329-335, Berlin: Springer 1994
Keywords: Zufallszahlen / Wahrscheinlichkeitsverteilung / Qualität / Zufallsgenerator
Classification Codes: MSC 65C10, CR G.3
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 03 May 2004 22:08
Last Modified: 21 Feb 2015 14:06
URI: http://epub.wu.ac.at/id/eprint/1080

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