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

Josef Leydold, Hannes Leeb, Wolfgang Hörmann

Publication: Working/Discussion PaperWU Working Paper

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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. (author's abstract)
Original languageEnglish
Place of PublicationVienna
PublisherDepartment of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business
Publication statusPublished - 1998

Publication series

NamePreprint Series / Department of Applied Statistics and Data Processing
No.25

WU Working Paper Series

  • Preprint Series / Department of Applied Statistics and Data Processing

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