Numeric.Random.Distribution.Normal

Module for transforming a list of uniform random variables into a list of normal random variables.

Documentation

normal_clt

Arguments

:: Int

Number of uniforms to sum

-> (Double, Double)

(mu,sigma)

-> [Double]

U

-> [Double]

X

Normal random variables via the Central Limit Theorm (not explicity given, but see Ross)

If mu=0 and sigma=1, then this will generate numbers in the range [-n2,n2]

normal_bm

Arguments

:: (Double, Double)

(mu,sigma)

-> [Double]

U

-> [Double]

X

Normal random variables via the Box-Mueller Polar Method (Ross, pp 450--452)

If mu=0 and sigma=1, then this will generate numbers in the range [-8.57,8.57] assuing that the uniform RNG is really giving full precision for doubles.

normal_ar

Arguments

:: (Double, Double)

(mu,sigma)

-> [Double]

U

-> [Double]

X

Acceptance-Rejection Method (Ross, pp 448--450)

If mu=0 and sigma=1, then this will generate numbers in the range [-36.74,36.74] assuming that the uniform RNG is really giving full precision for doubles.

normal_r

Arguments

:: (Double, Double)

(mu,sigma)

-> [Double]

U

-> [Double]

X

Ratio Method (Kinderman-Monahan) (Knuth, v2, 2ed, pp 125--127)

If mu=0 and sigma=1, then this will generate numbers in the range -1e15,1e15 assuming that the uniform RNG is really giving full precision for doubles.