Extensions of Forsythe’s method for random sampling from the normal distribution
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- by J. H. Ahrens and U. Dieter PDF
- Math. Comp. 27 (1973), 927-937 Request permission
Abstract:
This article is an expansion of G. E. Forsythe’s paper "Von Neumann’s comparison method for random sampling from the normal and other distributions" [5]. It is shown that Forsythe’s method for the normal distribution can be adjusted so that the average number $\bar {N}$ of uniform deviates required drops to 2.53947 in spite of a shorter program. In a further series of algorithms, $\bar {N}$ is reduced to values close to 1 at the expense of larger tables. Extensive computational experience is reported which indicates that the new methods compare extremely well with known sampling algorithms for the normal distribution.References
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Additional Information
- © Copyright 1973 American Mathematical Society
- Journal: Math. Comp. 27 (1973), 927-937
- MSC: Primary 65C10
- DOI: https://doi.org/10.1090/S0025-5718-1973-0329190-8
- MathSciNet review: 0329190