Two methods of conjoint summands of generating bivariate and trivariate normal pseudo-random numbers

DOI10.1080/00949655.2021.2005596OpenAlexW3216011312MaRDI QIDQ5083341

Piotr Sulewski

Publication date: 22 June 2022

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

Full work available at URL: https://doi.org/10.1080/00949655.2021.2005596

zbMATH Keywords

Monte Carlo simulationbivariate normal samplesmultivariate Gaussian samplesmultivariate normal generatorstrivariate normal samples

Mathematics Subject Classification ID

Statistics (62-XX) Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10)

Uses Software

• R
• MersenneTwister

Cites Work

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• The multivariate normal distribution
• A geometric derivation of the Irwin-Hall distribution
• A Comparison of Methods for Generating Normal Deviates on Digital Computers
• Continuous Bivariate Distributions
• Generation of multivariate normal samples with given sample mean and covariance matrix
• Generating autocorrelated pseudo-random numbers with specific distributions
• A class of invariant consistent tests for multivariate normality
• Mersenne twister
• A comparison of multivariate normal generators
• Computer methods for sampling from the exponential and normal distributions
• On the Generation of Normal Random Vectors
• Evaluation of a Pseudorandom Normal Number Generator

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