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The Ziggurat Method for Generating Random Variables

  • George Marsaglia
  • Wai Wan Tsang
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    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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    File URL: http://www.jstatsoft.org/v05/i08/paper
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    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
    Contact details of provider: Web page: http://www.jstatsoft.org/

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