Two methods of conjoint summands of generating bivariate and trivariate normal pseudo-random numbers

DOI10.1080/00949655.2021.2005596MaRDI QIDQ5083341zbMATH OpenOpenAlexFDO

Authors Piotr Sulewski

Publication date 22 June 2022

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

Full work available at URL https://doi.org/10.1080/00949655.2021.2005596

zbMATH Keywords

Monte Carlo simulationbivariate normal samplesmultivariate Gaussian samplesmultivariate normal generatorstrivariate normal samples

Mathematics Subject Classification ID

Statistics (62-XX) Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10)

Cites work

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• A Comparison of Methods for Generating Normal Deviates on Digital Computers
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• A comparison of multivariate normal generators
• A geometric derivation of the Irwin-Hall distribution
• Computer methods for sampling from the exponential and normal distributions
• Continuous Bivariate Distributions
• Evaluation of a Pseudorandom Normal Number Generator
• Farlie-Gumbel-Morgenstern family: equivalence of uncorrelation and independence
• Generating autocorrelated pseudo-random numbers with specific distributions
• Generation of multivariate normal samples with given sample mean and covariance matrix
• Mathematical methods of statistics.
• Mersenne twister
• On the Generation of Normal Random Vectors
• The multivariate normal distribution

Describes a project that uses

Uses Software

• R
• MersenneTwister

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