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Nonuniform Random Numbers: A Sensitivity Analysis for Transformation Methods

  • Lothar Afflerbach
  • Wolfgang Hörmann
Conference paper
Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 374)

Abstract

There are many methods for the transformation of uniform random numbers into nonuniform random numbers. These methods are employed for pseudo-random numbers generated by computer programs. It is shown that the sensitivity to the pseudo-random numbers used can vary a lot between the transformation methods. A classification of the sensitivity of several transformation methods is given. Numerical examples are presented for various transformation methods.

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Copyright information

© Springer-Verlag Berlin Heidelberg 1992

Authors and Affiliations

  • Lothar Afflerbach
    • 1
  • Wolfgang Hörmann
    • 2
  1. 1.Institut für StatistikTU GrazGrazAustria
  2. 2.Institut für StatistikWU WienWienAustria

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