A simple generalization of the Box–Muller method for obtaining a pair of correlated standard normal variables

DOI10.1080/00949650902839162zbMath1233.62030OpenAlexW2006127237MaRDI QIDQ3012671

J. Rodrigues Dias

Publication date: 6 July 2011

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

Full work available at URL: https://doi.org/10.1080/00949650902839162

zbMATH Keywords

correlationsimulationgeneralizationcomputationbivariate normal vectors

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Random number generation in numerical analysis (65C10) Statistical distribution theory (62E99)

Cites Work

• A Note on the Generation of Random Normal Deviates
• Generalized Box–MÜller Method for Generating $q$-Gaussian Random Deviates

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