Fast procedures for generating stationary normal vectors

DOI10.1080/00949658008810371zbMath0432.65007OpenAlexW2011834301MaRDI QIDQ3870209

István Deák

Publication date: 1980

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

Full work available at URL: https://doi.org/10.1080/00949658008810371

zbMATH Keywords

computer algorithmsfast proceduresMonte Carlo problemsstationary normal vectors

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Algorithms in computer science (68W99) Probabilistic methods, stochastic differential equations (65C99)

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Simulation of multivariate normal rectangle probabilities and their derivatives. Theoretical and computational results ⋮ Three digit accurate multiple normal probabilities

Cites Work

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• Computer methods for sampling from gamma, beta, Poisson and binomial distributions
• A note on a method for generating points uniformly on n -dimensional spheres
• The distribution of the distance between random points
• Numerical Simulation of Stationary and Non-Stationary Gaussian Random Processes
• Uniform Random Number Generators
• RANDOM NUMBERS FALL MAINLY IN THE PLANES
• A comparison of multivariate normal generators
• Computer methods for sampling from the exponential and normal distributions

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