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Aug 5

Beasley-Springer-Moro inverse normal

Posted by abiao at 08:12 | Code » Matlab | Comments(1) | Reads(17077)
Once you get uniform random numbers, how to inverse that to normal random numbers require numerical technique, Moro is one of such techniques,
my favourite method for constructing standard normal variates is the highly sophisticated interpolation formula by Peter Acklam for the inverse cumulative normal distribution. A very crude way to quickly construct (approximately) normally distributed variates is to add up 12 uniform variates, and subtract 6. For any reasonable application, I would always use either Peter Acklam’s method, or Boris Moro’s interpolation formula.


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