Uniform and Exponential Spacings

Luc Devroye
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Luc Devroye: McGill University, School of Computer Science

Chapter Chapter Five in Non-Uniform Random Variate Generation, 1986, pp 206-245 from Springer

Abstract: Abstract The goal of this book is to demonstrate that random varlates with various distributions can be obtained by cleverly manipulating iid uniform [0,1] random varlates. As we will see in this chapter, normal, exponential, beta, gamma and t distributed random varlates can be obtained by manipulation of the order statistics or spaclngs defined by samples of iid uniform [0,1] random varlates. For example, the celebrated polar method or Box-Muller method for normal random varlates will be derived in this manner (Box and Muller, 1958).

Keywords: Random Vector; Normal Random Variable; Polar Method; Generate Order Statistic; Exponential Spacing (search for similar items in EconPapers)
Date: 1986
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DOI: 10.1007/978-1-4613-8643-8_5

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