A Subroutine for Generating Pseudo-Random Numbers from a Variety of Distributions.
NEW MEXICO UNIV ALBUQUERQUE DEPT OF MATHEMATICS AND STATISTICS
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In this paper, a method for generating pseudo-random numbers is proposed. The method produces good approximations to certain distributions which are difficult to approximate by means of previously published methods. The authors begin by discussing previously published algorithms. Then the authors describe the new algorithm which is given for the case where F, the c.d.f. of the desired distribution, is available as a subroutine but F sup-1 is not, as is the case with the beta distribution. The FORTRAN 4 code is also provided. This new algorithm preserves qualities of randomness and goodness of fit possessed by the uniform 0,1 random number generator contained in the code. Also presented are results of statistical tests on the generator and instructions for substituting another uniform 0,1 random number generator.
- Statistics and Probability
- Computer Programming and Software