On Tue, 2 May 2006, Tibshirani wrote: > Hi, > > I am trying to figure out how normal random number generator works in R. As I > look at .../src/nmath/snorm.c file, I find the default algorithm is inverse > CDF method. In more detail, instead of directly using uniform value by > unif_rand(), snorm function will first get a sum by adding unif_rand() and > 2^27*unif_rand(), then divide it by 2^27 and transfer it to qnorm5() function > for inverting. Only a short comment for this operation is available in the > source: > /* unif_rand() alone is not of high enough precision */ > > Just curious why this operation is needed? Is it a general algorithm for > inverse CDF method, or simply unif_rand() in R returns float precision?
unif_rand() returns a uniform over about 2^31 distinct doubles, and that gives granularity in the far tails of a normal. It is a known (at least to me) trick for improving the accuracy of inversion. -- Brian D. Ripley, [EMAIL PROTECTED] Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595 ______________________________________________ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel
