Design Flaws in the Implementation of the Ziggurat and Monty Python methods (and some remarks on Matlab randn)

Boaz Nadler

Home/Archive/arXiv

arXiv · math/0603058

Design Flaws in the Implementation of the Ziggurat and Monty Python methods (and some remarks on Matlab randn)

Boaz Nadler

View original source ↗Read source document ↗Export metadata ↓

Abstract

{\em Ziggurat} and {\em Monty Python} are two fast and elegant methods proposed by Marsaglia and Tsang to transform uniform random variables to random variables with normal, exponential and other common probability distributions. While the proposed methods are theoretically correct, we show that there are various design flaws in the uniform pseudo random number generators (PRNG's) of their published implementations for both the normal and Gamma distributions \cite{Ziggurat,{Gamma},Monty}. These flaws lead to non-uniformity of the resulting pseudo-random numbers and consequently to noticeable deviations of their outputs from the required distributions. In addition, we show that the underlying uniform PRNG of the published implementation of Matlab's \texttt{randn}, which is also based on the Ziggurat method, is not uniformly distributed with correlations between consecutive pairs. Also, we show that the simple linear initialization of the registers in matlab's \texttt{randn} may lead to non-trivial correlations between output sequences initialized with different (related or even random unrelated) seeds. These, in turn, may lead to erroneous results for stochastic simulations.

Explore related subjects

math.ST math.PR stat.TH

Keep this discovery

BibTeX RIS

Boaz Nadler. 2006-03-02. Design Flaws in the Implementation of the Ziggurat and Monty Python methods (and some remarks on Matlab randn). https://arxiv.org/abs/math/0603058

Cite the original work for its findings. Save a collection to share your selection of sources.

KEEP EXPLORING

Related papers

arXiv2026

A Scale Invariance Property of PCA

The PCA algorithm is sensitive to changes in measurement scale. Measuring one variable of a system in inches rather than centimeters, say, alters both its principal axes and principal eigenvalues. Although this scale dependence is generally complicated, we show here that it nevertheless obeys a strict invariance property: under a continuous scale adjustment, the initial state's $k$-th largest principal component (ordered by eigenvalue) continuously evolves into the final state's $k$-th largest principal component, for each $k$. In this sense, we can say that the modes of PCA are "order-stable" with respect to changes in measurement scale. A special case occurs when scaling along directions that are orthogonal to some modes. Here, apparent eigenvalue crossings can occur. However, we show that we can interpret these apparent crossings as cases where the modes instantaneously swap their orientation, in this way maintaining the required order stability.

math.ST↗

arXiv2026

Small noise asymptotics for linear parabolic SPDEs in two space dimensions with unknown damping factors

We study parametric estimation for second order linear parabolic stochastic partial differential equations in two space dimensions with a small volatility parameter driven by a $Q$-Wiener process with an unknown damping parameter using high frequency spatio-temporal data. We first provide an estimator for the damping parameter of the $Q$-Wiener process utilizing realized quadratic variations based on spatial and temporal increments. We next propose minimum contrast estimators of the diffusive and advective parameters in the SPDE using a contrast function with the proposed estimator of the damping parameter. We then construct a quasi-maximum likelihood estimator of the reaction parameter in the SPDE using the approximate coordinate process derived from the estimators of the diffusive and advective parameters. We also provide simulation results of the proposed estimators.

math.ST↗

arXiv2026

Spike Estimation from Heteroscedastic Noise via Random Splitting

In this paper, we consider a spiked Wigner type matrix with a heteroscedastic and unknown variance profile. It is well known that in the supercritical regime of the BBP transition, strong spikes can create outliers in the spectrum. Unfortunately, in the heteroscedastic case, in general it is not possible to estimate the spike strength from these observed outlier consistently, as the latter is a solution to a Dyson equation with unknown parameters from the variance profile. In this paper, inspired by the work on sparse matrix completion \citep{BordenaveCosteNadakuditi2023}, we introduce an asymmetrized model by randomly splitting the spiked matrix into two parts, which transforms the noisy Wigner type matrix into a non Hermitian random matrix, while preserving the Hermitian spikes at the cost of a dilution. We establish a BBP type transition for the asymmetrized model, from which we can estimate the strength of the spikes precisely, even without knowing the variance profile of the noise part. We then further apply our approach to study the correlation between two correlated spiked models, where the spike/signal parts of the two models are correlated, and the noise parts are independent but may both be heteroscedastic. By applying our asymmetrization approach to the two models separately and also jointly, we are able to obtain a precise estimate of the correlation between the signal parts of the two models.

math.ST↗