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GRAN1: Gauss procedure to generate normal random numbers

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Author Info
Urzúa, Carlos M. () (Tecnológico de Monterrey, Campus Ciudad de México)

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Abstract

From version 3.6 to at least version 8.0, GAUSS had the procedure rndKMnor to generate normal variates using the popular algorithm due to Kinderman y Ramage (1976). Unfortunately, there was an error in that method, as shown by Tirler et al. (2004). Instead, we implement here a fast algorithm of small size due to Leva (1992).

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File URL: http://alejandria.ccm.itesm.mx/egap/documentos/CC-2007-02.src
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Publisher Info
Software component provided by Tecnológico de Monterrey, Campus Ciudad de México in its series EGAP Computer Code with number 2007-02.

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Programming language: GAUSS
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Date of creation: Mar 2007
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Handle: RePEc:ega:comcod:200702

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Web page: http://www.ccm.itesm.mx/egap/
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Related research
Keywords: normal distribution; normal random numbers; pseudorandom numbers; normal variates; GAUSS;

Find related papers by JEL classification:
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Econometric and Statistical Methods; Specific Distributions
C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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This page was last updated on 2009-12-5.

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