A comparison of multivariate normal generators

DOI10.1145/361598.361620zbMATH Open0244.65006OpenAlexW1977340696MaRDI QIDQ5656293FDOQ5656293

Authors: D. R. Barr, Norman L. Slezak 

Publication date: 1972

Published in: Communications of the ACM (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1145/361598.361620

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10)

Cited In (5)

• Fast procedures for generating stationary normal vectors
• Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
• Generating random deviates from multivariate Pearson distributions
• How many principal components? Stopping rules for determining the number of non-trivial axes revisited
• Two methods of conjoint summands of generating bivariate and trivariate normal pseudo-random numbers

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