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Generation of Standard Normal Random Numbers

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 GENERATION OF STANDARD NORMAL RANDOM NUMBERS
Naveen Kumar Boiroju and M. Krishna Reddy

Department of Statistics, Osmania University, Hyderabad- 500 007, INDIA

Email: nanibyrozu@gmail.com, reddymk54@gmail.com

Abstract: In this paper, we propose an easy method to generate standard normal random

variables and this method is compared with the other existing methods. It is observed that the

proposed method is quite competitive with most of the existing methods. Randomness of the

generated sample is tested using the autocorrelation function and Ljung-Box test. Normality

of the samples is checked with the help of relation between testing of hypothesis and

confidence intervals.

Keywords: Autocorrelation function, Bootstrap confidence intervals, Central limit theorem,

Ljung-Box Statistic, Standard normal distribution, Random numbers.

1. Introduction

The normal distribution is also called as the Gaussian distribution and it is the most

important distribution in statistics. The distribution is given by

1  − ( x − µ )2 
f (x ) = exp  2  ; − ∞ < x, µ < ∞ and σ > 0
σ 2π  2σ 

1
where µ is a location parameter, equal to the mean, and σ the standard deviation. For

µ = 0 and σ = 1 , we refer to this distribution as the standard normal distribution. Some

characteristics of a standard normal distribution include the following:

1. Symmetric about mean and Mean=Median=Mode.

2. Mean=0, Standard deviation =1, Skewness=0 and Kurtosis relative to normal (β 2 − 3) =0.

3. First and third quartiles are -0.6745 and 0.6745 respectively.

4. Normal random variables X ’s with mean µ and variance σ 2 are generated by the

relationship X = µ + σ Z , where Z is the standard normal random variable.

Generation or simulation of random numbers, using deterministic algorithms, is

widely used by statisticians for several purposes. These include evaluating performance of

estimation and test procedures, and also use of simulation as a part of statistical inference.

Generating normal random numbers is an old and very important problem in the statistical

literature. Standard normal random variables are frequently used in computer

science, computational statistics, and in particular, in applications of the Monte Carlo

method. Several algorithms are available in the literature to generate normal random numbers

like method of sums of uniforms, Box-Muller method, Polar method, acceptance-rejection

method, inversion method, etc. Howell and Rheinfurth (1982), Devroye (1986), Johnson et.al.

(1995), Thomas et.al. (2007) and Rao et.al. (2011) provides an extensive list of different

algorithms for the generation of standard normal random numbers. In view of the enormous

recent development in statistics that relies on the use of simulation, it is essential for every

statistician to have some knowledge of the corresponding techniques. It is also useful to note

that because of its extensive use, search for an appropriate simulation technique is itself an

area of research. In Section 2, some of the existing methods to generate standard normal
2
random numbers discussed and a very simple and convenient method is proposed. Testing of

randomness and normality of the generated samples is presented in Section 3. Final

conclusion is presented in Section 4.

2. Methods for Generating Standard Normal Random Numbers

Some existing methods for generating standard normal random numbers discussed in

this section. A new algorithm to generate standard normal random numbers is also proposed

and is named as method-9 in this article.

Method-1: Sum of Uniform Random Variables

The simplest way of generating normal variables is an application of the central limit

theorem. The central limit theorem is a weak convergence result that expresses the fact that

any sum of many small independent random variables is approximately normally distributed.

Use of the central limit theorem on U(0,1) random variables provide a simple method for

closely approximating normal random variates. The following algorithm is used to generate

the standard normal variables.

1. Generate 12 independent uniform random numbers, U 1,U 2, K, U 12 ~ iid U(0,1).

12
2. Return Z = ∑ U i − 6.
i =1

This method requires 12 uniform random variables to generate a single standard

normal random number.

3
Method-2: Box-Muller Method

This method is due to Box and Muller (1958) and generates a pair of independent

standard normal random variables using a pair of uniform random numbers as follows:

1. Generate two independent random numbers U 1 and U 2 from U(0,1) distribution.

2. Return Z 1 = − 2 ln U 1 Cos(2πU 2 ) and Z 2 = − 2 ln U 1 Sin(2πU 2 ) .

Method-3: Polar Method

Another form of the Box-Muller method is called the polar technique. This improves

over the previous technique in being quicker as well as numerically more robust. The

algorithm can be summarized as follows:

1. Generate two random numbers U 1 and U 2 from U(0,1) distribution.

2. Set V1 = 2U 1 − 1, V2 = 2U 2 − 1 and S = V12 + V22 . Note that V1 and V2 are U(-1,1).

3. If S>1, go to step 1, otherwise go to step 4.

4. Return two independent standard normal variables

− 2 ln S − 2 ln S
Z1 = V1 and Z 2 = V2 .
S S

This algorithm also requires two uniform variables to generate a single standard normal

random number.

Method-4: Inversion Method

This method is due to Hastings (1955) and the algorithm can be summarized as

follows:

4
1. Generate U ~ U(0,1).
2

∑a w i
i

2. Return Z = Φ −1 (U ) = -w + i =0
3
; U ≤ 0.5.
∑b w
j =0
j
i

3. if U ≥ 0.5, use Z = -Φ −1 (1 − U ).

where
w = − 2 ln (U ); b0 = 1;
a 0 = 2.515517; b1 = 1.432788;
a1 = 0.802853; b2 = 0.189269;
a 2 = 0.010328; b3 = 0.001308.

This method requires single uniform random number but involves seven constants.

Method-5: Acceptance-Rejection Method

The following method is borrowed from the paper of Sigman (2007).

1. Generate two independent exponentials at rate 1; Y1 = − ln (U 1 ) and Y2 = − ln (U 2 ).

2. If Y2 ≥ (Y1 − 1) / 2, set Z = Y1 ; otherwise go to back to step 1.
2

3. Generate U 3 . Set Z = Z if U 3 ≤ 0.5, set Z = - Z if U 3 > 0.5.

This algorithm is an iterative algorithm and requires at least three uniform random

numbers to generate a single standard random number.

Method-6: Using Generalized Exponential Distribution

The following algorithm is given by Kundu et.al. (2006).

1. Generate an uniform (0,1) random variable, U ~ U(0,1).

(
2. Generate X = -ln 1 - U 0.0775 . )
ln (X ) − 1.0821
3. Compute the standard normal random variable as Z = .
0.3807

5
 This algorithm requires only one uniform random number for the generation of single

standard normal random number.

Method-7: Bol’shev Formula

A formula was suggested by Bol’shev (1959) is explained in the following steps.

1. Let the five uniform random numbers, U 1 , U 2 , U 3 , U 4 and U 5 ~ U (0,1) .

∑ [ 3 (2U ]
1
2. Compute X = j − 1) .
5 j =1

(
3. Z = X − 0.01 3 X − X 3 )

This formula requires atleast five uniform random numbers to generate a single

standard normal random number.

Method-8: Inversion Method

The following algorithm proposed by Rao et.al. (2011) and it is explained in the

following steps.

1. Generate U from the U(0,1) distribution.

1 
− ln  − 1
2. Return Z = U .
1.702

This algorithm requires only a single uniform random variable to generate the

standard normal variables and it is very much easier to apply and compute.

6
Method-9: Proposed Method

The proposed algorithm is developed using feedforward neural networks and

summarized as follows:

1. Generate uniform random number U from U(0,1) distribution.

2. Set X1= Tanh(-31.35694+28.77154U),

X2=Tanh(-2.57136-31.16364U),

X3=Tanh(3.94963-1.66888U) and

X4=Tanh(2.31229+1.84289U) .

3. Return Z=0.46615+90.72192X1-89.36967X2-96.55499X3+97.36346X4.

This method requires only one uniform random number to generate the standard

normal random numbers.

3. Testing Randomness and Normality

A comparative study of the above methods discussed in this section. 1000 random

numbers generated using each of the methods discussed in section 2 and tested for the

randomness and normality of the random numbers generated using the proposed method.

Testing Randomness:

For a random series, we expect to find that autocorrelation function (ACF) is zero for

all non-zero values of lag k and none of the autocorrelations is significantly different from

zero at the level 0.05. Hence, the ACF is used as a graphical test procedure to test the

7
randomness of the generated data (Chatfield, 1991). The sample ACF of the standard normal

random numbers generated from the proposed method (Method-9) is presented in the

following figure.

Figure 1: Autocorrelation function of the sample generated from the proposed method

As the results indicate, none of these autocorrelations of the standard normal random

numbers generated from the proposed method is significantly different from zero at the level

0.05. This proves that the generated sample is a random sample.

Randomness of the sample generated from the proposed method is tested using Ljung-

Box test (Chatfield, 1991; Ljung and Box, 1978). The following table presents the values of

Ljung-Box statistic and its significant probability values for different lags of the

autocorrelations.

8
 Table 1: Ljung-Box test

Ljung-Box Statistic
Lag Value df P-value
10 6.962 10 0.729
20 15.838 20 0.727
30 26.017 30 0.674
40 43.304 40 0.332
50 55.901 50 0.263
60 70.495 60 0.167
70 84.422 70 0.115
80 95.620 80 0.112
90 102.298 90 0.177
100 108.618 100 0.261

From the above table, it is observed that the P-values of the Ljung-Box statistic at different

lags is greater than the level 0.05, therefore we accept the null hypothesis of randomness of

the sample and we may conclude that the sample generated using the proposed method is a

random sample.

Testing of Normality:

The histogram of the sample generated using the proposed method (Method-9) is

presented in the following figure.

9
 Figure 2: Histogram of the sample generated using the proposed method

From the above histogram, it is observed that the sample generated using the proposed

method is symmetric and normal. The following table presents the descriptive statistics of the

samples generated using each of the methods.

Table 2: Descriptive Statistics

Descriptive Method
Statistics
M1 M2 M3 M4 M5 M6 M7 M8 M9
N Valid 1000 1000 1000 1000 1000 1000 1000 1000 1000
Mean -0.002 -0.032 -0.023 0.060 0.048 0.015 0.039 -0.014 0.042
Median -0.007 -0.001 -0.054 0.029 0.049 0.011 0.013 -0.012 0.059
Mode -0.016 0.059 -0.118 -0.033 0.049 0.001 -0.041 -0.006 0.094
Std. Deviation 0.983 1.024 1.005 0.984 1.002 1.025 0.960 0.989 0.998
Skewness 0.000 -0.003 0.093 0.091 -0.139 0.029 0.056 0.006 -0.054
Kurtosis -0.178 0.030 -0.194 0.147 -0.019 -0.162 -0.163 -0.039 -0.055
Range 5.930 6.074 6.111 6.634 6.530 6.503 5.615 5.218 5.745
Minimum -3.180 -2.963 -2.909 -3.023 -3.337 -3.176 -2.813 -2.590 -2.895
Maximum 2.750 3.111 3.202 3.611 3.194 3.326 2.802 2.628 2.851
Quartiles Q1 -0.670 -0.714 -0.705 -0.597 -0.636 -0.703 -0.663 -0.650 -0.633
Q2 -0.007 -0.001 -0.054 0.029 0.049 0.011 0.013 -0.012 0.059
Q3 0.673 0.653 0.643 0.727 0.751 0.753 0.694 0.603 0.705

10
From the above table, it is clear that the mean, median and mode are almost equal to zero and

same for the samples generated from the each method. Standard deviation, skewness and

kurtosis of the random numbers generated using each of the methods is near to one, zero and

zero respectively. This indicates that the methods producing standard normal random

numbers. The sample quartiles are also agreeing with that of the standard normal distribution.

Method-4 generates a wide range of the standard random numbers whereas method-8

generates a low range of the standard normal random numbers.

The relation between testing of hypothesis and confidence intervals is used to test the

normality of the samples. The characteristics of the standard normal distribution is checked

and tested with the help of bootstrap confidence intervals (Becher et.al.; 1993 and Efron and

Tibishirani; 1993). If all the parameters (mean=0, standard deviation=1, skewness=0 and

kurtosis=0 ) of the standard normal distribution lies in between the lower and upper bounds

of bootstrap confidence interval, then the normality of the sample is satisfied. Bootstrap

confidence intervals for the mean, standard deviation, skewness and kurtosis of the samples

generated from each of the method is presented in the following table.

11
 Table 3: Bootstrap confidence intervals

Bootstrap method (10,000 iterations)

Method Descriptive Statistics Statistic 95% Confidence Interval
Bias Std. Error
Lower Upper
Mean -0.002 0 0.031 -0.063 0.058
Std. Deviation 0.983 -0.001 0.021 0.941 1.024
Method-1
Skewness 0 0.001 0.068 -0.135 0.134
Kurtosis -0.178 -0.004 0.115 -0.402 0.058
Mean -0.032 0.001 0.032 -0.095 0.031
Std. Deviation 1.024 -0.001 0.023 0.978 1.069
Method-2
Skewness -0.003 -0.001 0.073 -0.144 0.136
Kurtosis 0.03 -0.004 0.116 -0.193 0.264
Mean -0.023 0 0.031 -0.086 0.037
Std. Deviation 1.005 0 0.021 0.965 1.046
Method-3
Skewness 0.093 0 0.064 -0.035 0.219
Kurtosis -0.194 0.001 0.111 -0.399 0.04
Mean 0.06 0.001 0.031 0.001 0.122
Std. Deviation 0.984 -0.001 0.023 0.94 1.029
Method-4
Skewness 0.091 0 0.084 -0.073 0.255
Kurtosis 0.147 -0.009 0.171 -0.179 0.483
Mean 0.048 0.001 0.032 -0.014 0.112
Std. Deviation 1.002 0 0.022 0.958 1.046
Method-5
Skewness -0.139 -0.002 0.078 -0.293 0.021
Kurtosis -0.019 -0.002 0.153 -0.306 0.299
Mean 0.015 0.001 0.032 -0.047 0.081
Std. Deviation 1.025 -0.001 0.022 0.981 1.067
Method-6
Skewness 0.029 0.001 0.069 -0.105 0.166
Kurtosis -0.162 -0.002 0.121 -0.39 0.081
Mean 0.039 0 0.03 -0.019 0.1
Std. Deviation 0.96 0 0.021 0.92 1.001
Method-7
Skewness 0.056 0.001 0.069 -0.077 0.194
Kurtosis -0.163 -0.004 0.108 -0.374 0.045
Mean -0.014 0 0.03 -0.073 0.045
Std. Deviation 0.989 -0.001 0.021 0.948 1.030
Method-8
Skewness 0.006 0 0.068 -0.126 0.136
Kurtosis -0.039 -0.002 0.103 -0.238 0.172
Mean 0.042 0 0.031 -0.02 0.102
Std. Deviation 0.998 -0.001 0.022 0.956 1.041
Method-9
Skewness -0.054 0 0.071 -0.193 0.086
Kurtosis -0.055 -0.005 0.114 -0.275 0.166

12
From the above table, it is observed that the parameters of the standard normal distribution

belong to the respective bootstrap confidence intervals for all the methods. This implies that

all the methods considered in this article can be used to generate the standard normal random

numbers.

4. Conclusion

From the above study, it is observed that the proposed method possesses the

randomness as well as the normality. The proposed method is an easy and convenient method

to generate the standard normal random numbers. Hence, the proposed method can be viewed

as a competitive method to generate the standard normal random numbers.

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