Robustness of some non‐uniform random variate generators

L.Y. Deng and R.S. Chhikara

Statistica Neerlandica, 1992, vol. 46, issue 2‐3, 195-207

Abstract: Often the usefulness of a random variate generator for a distribution is based on the successful generation of independent variates from the uniform distribution. However, no pseudo‐random number generator is capable of generating a truly random uniform sequence. As the cost of computations is now dramatically reduced, the computational efficiency should not be the primary criterion in choosing a good generator. Proposed here is a robustness criterion which is designed to study the effect of an imperfect pseudo‐random number generator on the accuracy of a random variate generator. In particular, the beta and binomial variate generators are examined for their robustness to the non‐uniformity of a pseudo‐random number generator.

Date: 1992
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https://doi.org/10.1111/j.1467-9574.1992.tb01337.x

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