1985/01/01 by John F. Monahan · 2 citations
Computer Science · #Numerical Methods and Algorithms #Digital Filter Design and Implementation #Advanced Data Compression Techniques
paper · doi:10.1090/s0025-5718-1985-0804945-x
openalex publication_date 1985/01/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/05/21
The generation of continuous random variables on a digital computer encounters a problem of accuracy caused by approximations and discretization error. These in turn impose a bias on the simulation results. An ideal discrete approximation of a continuous distribution and a measure of error are proposed. Heuristic analysis of common methods for transforming uniform deviates to other continuous random variables is discussed. Comments and recommendations are made for the design of algorithms to reduce the bias and avoid overflow problems.