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3.2.3 Generalized Transformation Method:
Same as before, but with n-tuples of random variates:
Let
,
, and
with
. Then
(
... Jacobi determinant
of the transformation
.)
The following procedure for the production of Gaussian random
variates may be understood as an application of this.
Normal distribution:
3.1
Franz J. Vesely Oct 2005
See also: "Computational Physics - An Introduction," Kluwer-Plenum 2001