Article View: sci.math.stat
Article #89Re: random number generator
From: J E H Shaw
Date: Mon, 27 Jul 1992 13:32
Date: Mon, 27 Jul 1992 13:32
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1643 bytes
In article <1992Jul27.124120.29511@cl.cam.ac.uk> nmm@cl.cam.ac.uk (Nick Maclaren) writes:
>|> ...
>|> 3. G.E.P.Box and M.E.Mueller
>|> A Note on the Generation of Random Normal Deviates
>|> Ann.Math.Stat. (1958) 29, 610-611
>
>Don't use this method in single precision - it has a very serious
>flaw. While it is OK in double precision, there are faster and simpler
>methods available (e.g. the Polar Method as described in Knuth). The
>reference for the flaw is by H.R. Neave round about 1970.
>
See H.R. Neave (1973), "On using the Box-Muller transformation with
multiplicative congruential pseudo-random number generators",
Applied Statistics 22:92-97.
In general, if you're interested in the tail-behaviour of some distribution,
be particularly careful about the method you choose for simulation.
-- Ewart Shaw
--
J.E.H.Shaw, Department of Statistics, | JANET: strgh@uk.ac.warwick.cu
University of Warwick, | BITNET: strgh%uk.ac.warwick.cu@UKACRL
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Path: arc1-ca.pugleaf.net!sparky!uunet!mcsun!uknet!warwick!strgh From: strgh@warwick.ac.uk (J E H Shaw) Newsgroups: sci.math.stat Subject: Re: random number generator Keywords: pseudo-random, C , uniform, normal Message-ID: <ssanb14z@csv.warwick.ac.uk> Date: 27 Jul 92 13:32:17 GMT References: <1992Jul27.103659.11820@kth.se> <1992Jul27.124120.29511@cl.cam.ac.uk> Sender: news@csv.warwick.ac.uk (Network news) Organization: Computing Services, Warwick University, UK Lines: 24 Nntp-Posting-Host: clover