Robustness of some non‐uniform random variate generators


Often the usefulness of a random variate generator for a distribution is based on the successful generation of independent variates from the uniform distribution. However, no pseudo‐random number generator is capable of generating a truly random uniform sequence. As the cost of computations is now dramatically reduced, the computational efficiency should not be the primary criterion in choosing a good generator. Proposed here is a robustness criterion which is designed to study the effect of an imperfect pseudo‐random number generator on the accuracy of a random variate generator. In particular, the beta and binomial variate generators are examined for their robustness to the non‐uniformity of a pseudo‐random number generator. Copyright © 1992, Wiley Blackwell. All rights reserved

Publication Title

Statistica Neerlandica