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The Box‐Müller Method for Generating Pseudo‐Random Normal Deviates

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  • E. R. Golder
  • J. G. Settle

Abstract

This paper discusses in theoretical and practical terms various methods of generating pseudo‐random normal deviates using the Box‐Müller transformation, laying particular emphasis both on the fit to the theoretical distribution and on the manner in which these methods sample from that distribution. Monte Carlo simulation results relating to these methods are also supplied.

Suggested Citation

  • E. R. Golder & J. G. Settle, 1976. "The Box‐Müller Method for Generating Pseudo‐Random Normal Deviates," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 25(1), pages 12-20, March.
    • Handle: RePEc:bla:jorssc:v:25:y:1976:i:1:p:12-20
    DOI: 10.2307/2346513
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