The ACR method for generating normal random variables

DOI10.1007/BF01719718MaRDI QIDQ917211zbMATH OpenOpenAlexFDO

Authors Wolfgang Hörmann, Gerhard Derflinger

Publication date 1990

Published in OR Spektrum (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01719718

zbMATH Keywords

acceptance-complement methodACR methoddecomposition methodnormal random number generatorratio of uniform method

Mathematics Subject Classification ID

Random number generation in numerical analysis (65C10)

Review text

A normal random number generator called ACR method is presented. It combines the acceptance-complement method [\textit{L. Devroye}, Non-uniform random variate generation (1986; Zbl 0593.65005)] with the ratio of uniform method [\textit{A. J. Kindermann} and \textit{J. F. Monahan}, ACM Trans. Software, 3, 257-260 (1977; Zbl 0387.65006)], and an idea of squeezes is introduced. Comparison with the other generators such as Forsythe's method, the decomposition method and the ratio of uniform method shows that the ACR method works well for all of the three different circumstances.

Recommendations

• An acceptance-complement analogue of the mixture-plus-acceptance-rejection method for generating random variables
• A fast normal random number generator
• scientific article; zbMATH DE number 549942
• ACORN - A new method for generating sequences of uniformly distributed pseudo-random numbers
• The transformed rejection method for generating random variables, an alternative to the ratio of uniforms method

Cites work

• A Convenient Method for Generating Normal Variables
• Algorithm 488: A Gaussian pseudo-random number generator
• Computer Generation of Random Variables Using the Ratio of Uniform Deviates
• Extensions of Forsythe's Method for Random Sampling from the Normal Distribution
• scientific article; zbMATH DE number 3954145 (Why is no real title available?)
• scientific article; zbMATH DE number 3569651 (Why is no real title available?)
• Normal Random Numbers: Using Machine Analysis to Choose the Best Algorithm

Cited in

(6)

• Maximum likelihood estimators for ARMA and ARFIMA models: a Monte Carlo study.
• A simple generator for the \(t\) distribution
• An acceptance-complement analogue of the mixture-plus-acceptance-rejection method for generating random variables
• The distribution of estimators after model selection:large and small sample results
• The transformed rejection method for generating random variables, an alternative to the ratio of uniforms method
• An error in the Kinderman-Ramage method and how to fix it

This page was built for publication: The ACR method for generating normal random variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q917211)