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The Ziggurat Method for Generating Random Variables

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  • George Marsaglia
  • Wai Wan Tsang
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    Abstract

    We provide a new version of our ziggurat method for generating a random variable from a given decreasing density. It is faster and simpler than the original, and will produce, for example, normal or exponential variates at the rate of 15 million per second with a C version on a 400MHz PC. It uses two tables, integers k_i, and reals w_i. Some 99% of the time, the required x is produced by: Generate a random 32-bit integer j and let i be the index formed from the rightmost 8 bits of j. If j

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    Bibliographic Info

    Article provided by American Statistical Association in its journal Journal of Statistical Software.

    Volume (Year): 05 ()
    Issue (Month): i08 ()
    Pages:

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    Handle: RePEc:jss:jstsof:05:i08

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    Web page: http://www.jstatsoft.org/

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    Cited by:
    1. Díaz-Emparanza Herrero, Ignacio, 2011. "Numerical Distribution Functions for Seasonal Unit Root Tests," BILTOKI 2011-09, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    2. Nordahl, Helge A., 2008. "Valuation of life insurance surrender and exchange options," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 909-919, June.
    3. Ahmed Bensaida, 2012. "Improving the Forecasting Power of Volatility Models," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 2(3), pages 51-64, July.
    4. Philip H. W. Leong & Ganglie Zhang & Dong-U Lee & Wayne Luk & John Villasenor, . "A Comment on the Implementation of the Ziggurat Method," Journal of Statistical Software, American Statistical Association, vol. 12(i07).

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