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On Box–Muller Transformation and Simulation of Normal Record Data |
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| Authors: | N Balakrishnan H Y So X J Zhu |
| Institution: | Department of Mathematics, McMaster University, Hamilton, Ontario, Canada |
| Abstract: | Record data are commonly encountered in many fields such as sports, geography, finance, and reliability. In this article, we use the well-known Box–Muller transformation to develop an efficient method of simulating record data from the normal distribution. Another method based on exponential records is also discussed. Then, the performance of these algorithms is compared with some standard simulation methods. |
| Keywords: | Best linear unbiased estimates Box–Muller algorithm Kolmogorov–Smirnov test Lower records Upper records Variance-covariance matrix |