Development and testing of a high precision digital Gaussian generator for Computers

Dimitris G. Maritsas and Gerasimos G. Frangakis

Mathematics and Computers in Simulation (MATCOM), 1980, vol. 22, issue 1, 36-48

Abstract: A high precision generator of Gaussian distributed pseudorandom numbers has been developed and tested. The generator is designed so that to be suitable for use with computers in simulation applications. Experimental results are given which verify the theoretically predicted performance. The generator approximates with high accuracy the tails of the Gaussian density and this makes it suitable for simulations of rare events. Depending on the system parameters the originally generated densities can be produced in a form which allows computer scaling without affecting the accuracy over a range of more than +5 standard deviations from the mean.

Date: 1980
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:22:y:1980:i:1:p:36-48

DOI: 10.1016/0378-4754(80)90101-9

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