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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Research supported by the Austrian Science Foundation (FWF), project no. P11143-MAT
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Leydold, J., Leeb, H., Hörmann, W. (2000). Higher-Dimensional Properties of Non-Uniform Pseudo-Random Variates. In: Niederreiter, H., Spanier, J. (eds) Monte-Carlo and Quasi-Monte Carlo Methods 1998. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-59657-5_23
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DOI: https://doi.org/10.1007/978-3-642-59657-5_23
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