Abstract
We develop a method for generating pseudorandom sequences with Gaussian distribution. The method is based on completely uniformly distributed sequences and linear transformations, such as the Fourier transform and Walsh transform. We obtain some discrepancy estimates and make a numerical comparison of these two transformations. Furthermore, we show how this method can be used for testing randomness. We remark that similar approaches are due to Gut, Egorov and Il’in [7], Yuen [26] and Rader [21].
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The authors are supported by the Austrian-Hungarian Scientific Cooperation Programme, Project Nr. 10U3
This author is supported by the Austrian Science Foundation, Project Nr. P10223-PHY
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Herendi, T., Siegl, T. & Tichy, R.F. Fast gaussian random number generation using linear transformations. Computing 59, 163–181 (1997). https://doi.org/10.1007/BF02684478
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DOI: https://doi.org/10.1007/BF02684478