STILL ANOTHER METHOD FOR PRODUCING NORMAL VARIABLES IN A COMPUTER
BOEING SCIENTIFIC RESEARCH LABS SEATTLE WA
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A method for producing normal random variables in terms of uniform random variables U sub 1, U sub 2, U sub 3,.... If Y U sub 1 U sub 2 U sub 3, then choosing one of the four random variables 2Y - 3, 4Y - 63, Y - 72 or Y 42 in the proportions .8365, .11506, .00372 and .00372 will produce the required normal variate 98.6 per cent of the time. The other 1.4 per cent is devoted to the tail or a rejection technique in order that the composite be exact. The method leads to very fast computer programs which are easy to code and occupy little space in the computer.
- Computer Programming and Software