IDEAS home Printed from https://ideas.repec.org/a/bla/jorssc/v22y1973i1p92-97.html
   My bibliography  Save this article

On Using the Box‐Müller Transformation with Multiplicative Congruential Pseudo‐Random Number Generators

Author

Listed:
  • Henry R. Neave

Abstract

In a recent Monte Carlo study, a most unsatisfactory sampling distribution was obtained when supposedly standard techniques were employed to simulate a simple random sample from the standard normal distribution. A selection of observed and expected frequencies (the latter rounded to the nearest integer) in the tails of the distribution for a sample of size 1,000,000 is given in Table 1. It hardly needs a chi‐square test to indicate that the observed frequencies are not following the expected pattern! Note particularly that all the 1,000,000 observations are restricted to the range (–3·3 : 3·6), and that the sampling distribution has marked local maxima approximately at the points –3·3, 30 and 3·6. This paper investigates such phenomena.

Suggested Citation

  • Henry R. Neave, 1973. "On Using the Box‐Müller Transformation with Multiplicative Congruential Pseudo‐Random Number Generators," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 22(1), pages 92-97, March.
    • Handle: RePEc:bla:jorssc:v:22:y:1973:i:1:p:92-97
    DOI: 10.2307/2346308
    as

    Download full text from publisher

    File URL: https://doi.org/10.2307/2346308
    Download Restriction: no
    File URL: https://libkey.io/10.2307/2346308?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Calzolari, Giorgio & Ciriani, Tito A. & Corsi, Paolo, 1976. "Generation and testing of pseudo-random numbers to be used in the stochastic simulation of econometric models," MPRA Paper 24172, University Library of Munich, Germany.
    2. Hendry, David F., 1984. "Monte carlo experimentation in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 16, pages 937-976, Elsevier.
    3. David C. Hoaglin, 1973. "Monte Carlo Techniques in Studying Robust Estimators," NBER Working Papers 0016, National Bureau of Economic Research, Inc.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jorssc:v:22:y:1973:i:1:p:92-97. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/rssssea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.