Efficient generation of exponential and normal deviates

DOI10.1080/10629360500108004MaRDI QIDQ5290912zbMATH OpenOpenAlexFDO

Authors Brad C. Johnson, Herman Rubin

Publication date 3 May 2006

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10629360500108004

zbMATH Keywords

acceptance-complementexponential deviatesnormal deviates

Mathematics Subject Classification ID

Statistical distribution theory (62E99) Random number generation in numerical analysis (65C10)

Recommendations

• Fast pseudorandom generators for normal and exponential variates
• scientific article; zbMATH DE number 3870466
• A fast normal random number generator
• A quasi-Monte Carlo implementation of the ziggurat method
• scientific article; zbMATH DE number 778073

Cites work

• A Fast, Easily Implemented Method for Sampling from Decreasing or Symmetric Unimodal Density Functions
• A Variant of the Acceptance-Rejection Method for Computer Generation of Random Variables
• An acceptance-complement analogue of the mixture-plus-acceptance-rejection method for generating random variables
• scientific article; zbMATH DE number 3954145 (Why is no real title available?)
• Mersenne twister

Cited in

(7)

• A quasi-Monte Carlo implementation of the ziggurat method
• Random numbers from the tails of probability distributions using the transformation method
• Rectangles algorithm for generating normal variates
• A Fast, Easily Implemented Method for Sampling from Decreasing or Symmetric Unimodal Density Functions
• Fast pseudorandom generators for normal and exponential variates
• A modified ziggurat algorithm for generating exponentially and normally distributed pseudorandom numbers
• A stochastic method for solving time-fractional differential equations

Describes a project that uses

Uses Software

• Ziggurat

This page was built for publication: Efficient generation of exponential and normal deviates

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5290912)