Polar generation of random variates with the -distribution

The "polar" method of Box and Muller uses two independent uniform variates in order to generate two independent normal variates. It can be adapted so that two variates from Student’s t -distribution with parameter ν \nu are generated, though the two variates are now not independent. An alg...

Full description

Saved in:
Bibliographic Details
Published in:Mathematics of computation 1994-04, Vol.62 (206), p.779-781
Main Author: Bailey, Ralph W.
Format: Article
Language:English
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:The "polar" method of Box and Muller uses two independent uniform variates in order to generate two independent normal variates. It can be adapted so that two variates from Student’s t -distribution with parameter ν \nu are generated, though the two variates are now not independent. An algorithm based on the polar method is exact, inexpensive, and valid for all ν > 0 \nu > 0 .
ISSN:0025-5718
1088-6842
DOI:10.1090/S0025-5718-1994-1219702-8