STILL ANOTHER METHOD FOR PRODUCING NORMAL VARIABLES IN A COMPUTER

Abstract

A method for producing normal random variables in terms of uniform random variables U sub 1, U sub 2, U sub 3,.... If Y = U sub 1 + U sub 2 + U sub 3, then choosing one of the four random variables 2Y - 3, (4Y - 6)/3, (Y - 7)/2 or (Y + 4)/2 in the proportions .8365, .11506, .00372 and .00372 will produce the required normal variate 98.6 per cent of the time. The other 1.4 per cent is devoted to the tail or a rejection technique in order that the composite be exact. The method leads to very fast computer programs which are easy to code and occupy little space in the computer.

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Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1965
Accession Number
AD0612430

Entities

People

  • George Marsaglia

Organizations

  • Boeing

Tags

DTIC Thesaurus Topics

  • Computer Programs
  • Computers
  • Functions (Mathematics)
  • Mathematics
  • Normal Distribution
  • Probability
  • Procedures (Computers)
  • Random Variables
  • Rejection
  • Residuals
  • Scientific Research
  • Sequences

Fields of Study

  • Mathematics

Readers

  • Computer Science.
  • Statistical inference.
  • Systems Analysis and Design

Technology Areas

  • Space