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

  • Josef Leydold
  • Hannes Leeb
  • Wolfgang Hörmann
Conference paper

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.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2000

Authors and Affiliations

  • Josef Leydold
    • 1
  • Hannes Leeb
    • 2
  • Wolfgang Hörmann
    • 3
  1. 1.Department for StatisticsWU WienViennaAustria
  2. 2.ISOCUniversity of ViennaViennaAustria
  3. 3.IE DepartmentBoğaziçi University IstanbulBebek-IstanbulTurkey

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