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

Leydold, Josef and Leeb, Hannes and Hörmann, Wolfgang (1998) Higher-Dimensional Properties of Non-Uniform Pseudo-Random Variates. Preprint Series / Department of Applied Statistics and Data Processing, 25. Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business, Vienna.

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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. (author's abstract)

Item Type: Paper
Additional Information: in: H. Niederreiter, J. Spanier (eds.), Monte Carlo and Quasi-Monte Carlo Methods 1998, pp. 341-355, 2000
Keywords: random number generation / non-uniform / empirical tests
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 10 Jul 2006 12:09
Last Modified: 04 Sep 2015 05:10
URI: http://epub.wu.ac.at/id/eprint/268

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