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Box–Muller transformation


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A procedure, suggested by Box and Muller in 1958, for the simulation of observations from a normal distribution. If u1 and u2 are two independent observations from a continuous uniform distribution on the interval (0, 1), then the quantities x and y, given by , where 2πu1 is taken to be in radians, are independent observations from a standard normal distribution.

Subjects: Probability and Statistics.


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