The Monty Python method for generating random variables

DOI10.1145/292395.292453MaRDI QIDQ4256921zbMATH OpenOpenAlexWikidataFDO

Authors George Marsaglia, W. W. Tsang

Publication date 16 February 2000

Published in ACM Transactions on Mathematical Software (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1145/292395.292453

zbMATH Keywords

\(t\) variatesMonte Carlo studiesMonty Python methodnormal variatesrandom variable generationvon Mises variates

Mathematics Subject Classification ID

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

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Cited in

(8)

• Exact simulation of IG-OU processes
• Simulation of the p-generalized Gaussian distribution
• Monty Python
• Exact simulation of tempered stable Ornstein--Uhlenbeck processes
• Transition law-based simulation of generalized inverse Gaussian Ornstein-Uhlenbeck processes
• Super-efficient exact Hamiltonian Monte Carlo for the von Mises distribution
• Generation of normal distributions revisited
• An error in the Kinderman-Ramage method and how to fix it

Describes a project that uses

Uses Software

• Diehard

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