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An Error in the Kinderman-Ramage Method and How to Fix It

Tirler, Günter and Dalgaard, Peter and Hörmann, Wolfgang and Leydold, Josef (2003) An Error in the Kinderman-Ramage Method and How to Fix It. Preprint Series / Department of Applied Statistics and Data Processing, 48. Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business, Vienna.

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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. (author's abstract)

Item Type: Paper
Additional Information: printed in: Computational Statistics & Data Analysis 47(3), pp. 433-440, 2004
Keywords: Gaussian random variate generation
Classification Codes: MSC 65C10
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 10 Jul 2006 15:33
Last Modified: 29 Jul 2015 13:13
URI: http://epub.wu.ac.at/id/eprint/218

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