Efficient Algorithm for Generating Random Number Pairs Drawn from a Bivariate Normal Distribution

摘要

An efficient algorithm for generating random number pairs from a bivariate normal distribution was developed. Any desired value of the two means, two standard deviations, and correlation coefficient can be selected. Theoretically the technique is exact and in practice its accuracy is limited only by the quality of the uniform distribution random number generator, inaccuracies in computer function evaluation, and arithmetic. A FORTRAN routine was written to check the algorithm and good accuracy was obtained. Some small errors in the correlation coefficient were observed to vary in a surprisingly regular manner. A simple model was developed which explained the qualities aspects of the errors.