The Annals of Mathematical Statistics

Expressing a Random Variable in Terms of Uniform Random Variables

G. Marsaglia

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Abstract

This note suggests that expressing a distribution function as a mixture of suitably chosen distribution functions leads to improved methods for generating random variables in a computer. The idea is to choose a distribution function which is close to the original and use it most of the time, applying the correction only infrequently. Mixtures allow this to be done in probability terms rather than in the more elaborate ways of conventional numerical analysis, which must be applied every time.

Article information

Source
Ann. Math. Statist. Volume 32, Number 3 (1961), 894-898.

Dates
First available in Project Euclid: 27 April 2007

Permanent link to this document
http://projecteuclid.org/euclid.aoms/1177704983

JSTOR
links.jstor.org

Digital Object Identifier
doi:10.1214/aoms/1177704983

Mathematical Reviews number (MathSciNet)
MR130090

Zentralblatt MATH identifier
0139.35604

Citation

Marsaglia, G. Expressing a Random Variable in Terms of Uniform Random Variables. The Annals of Mathematical Statistics 32 (1961), no. 3, 894--898. doi:10.1214/aoms/1177704983. http://projecteuclid.org/euclid.aoms/1177704983.


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