An approximate method for generating symmetric random variables

Authors:
John S. Ramberg;Bruce W. Schmeiser
Affiliations:
Univ. of Iowa, Iowa City;Electronic Data Systems, Dallas, TX
Venue:
Communications of the ACM
Year:
1972

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Abstract

A method for generating values of continuous symmetric random variables that is relatively fast, requires essentially no computer memory, and is easy to use is developed. The method, which uses a uniform zero-one random number source, is based on the inverse function of the lambda distribution of Tukey. Since it approximates many of the continuous theoretical distributions and empirical distributions frequently used in simulations, the method should be useful to simulation practitioners.