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

f (x ) =

( x )2
exp
; < x, < and > 0
2
2
2

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

= 0 and = 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 ( 2 3) =0.
3. First and third quartiles are -0.6745 and 0.6745 respectively.
4. Normal random variables X s with mean and variance 2 are generated by the
relationship X = + 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.

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(2U 2 ) and Z 2 = 2 ln U 1 Sin(2U 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

Z1 =

2 ln S
V1 and Z 2 =
S

2 ln S
V2 .
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

2. Return Z = 1 (U ) = -w +

a w

i =0
3

b w

; U 0.5.
i

j =0

3. if U 0.5, use Z = - 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 .

3. Compute the standard normal random variable as Z =

ln (X ) 1.0821
.
0.3807

This algorithm requires only one uniform random number for the generation of single
standard normal random number.
Method-7: Bolshev Formula

A formula was suggested by Bolshev (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) .

2. Compute X =

1
5

[ 3 (2U

1) .

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
U
.
2. Return Z =
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.

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 LjungBox 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.

Table 1: Ljung-Box test

Lag
10
20
30
40
50
60
70
80
90
100

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

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
Statistics
N
Valid
Mean
Median
Mode
Std. Deviation
Skewness
Kurtosis
Range
Minimum
Maximum
Quartiles
Q1
Q2
Q3

Method
M1
1000
-0.002
-0.007
-0.016
0.983
0.000
-0.178
5.930
-3.180
2.750
-0.670
-0.007
0.673

M2
1000
-0.032
-0.001
0.059
1.024
-0.003
0.030
6.074
-2.963
3.111
-0.714
-0.001
0.653

M3
1000
-0.023
-0.054
-0.118
1.005
0.093
-0.194
6.111
-2.909
3.202
-0.705
-0.054
0.643

M4
1000
0.060
0.029
-0.033
0.984
0.091
0.147
6.634
-3.023
3.611
-0.597
0.029
0.727

M5
1000
0.048
0.049
0.049
1.002
-0.139
-0.019
6.530
-3.337
3.194
-0.636
0.049
0.751

M6
1000
0.015
0.011
0.001
1.025
0.029
-0.162
6.503
-3.176
3.326
-0.703
0.011
0.753

M7
1000
0.039
0.013
-0.041
0.960
0.056
-0.163
5.615
-2.813
2.802
-0.663
0.013
0.694

M8
1000
-0.014
-0.012
-0.006
0.989
0.006
-0.039
5.218
-2.590
2.628
-0.650
-0.012
0.603

M9
1000
0.042
0.059
0.094
0.998
-0.054
-0.055
5.745
-2.895
2.851
-0.633
0.059
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

Method

Method-1

Method-2

Method-3

Method-4

Method-5

Method-6

Method-7

Method-8

Method-9

Descriptive Statistics
Mean
Std. Deviation
Skewness
Kurtosis
Mean
Std. Deviation
Skewness
Kurtosis
Mean
Std. Deviation
Skewness
Kurtosis
Mean
Std. Deviation
Skewness
Kurtosis
Mean
Std. Deviation
Skewness
Kurtosis
Mean
Std. Deviation
Skewness
Kurtosis
Mean
Std. Deviation
Skewness
Kurtosis
Mean
Std. Deviation
Skewness
Kurtosis
Mean
Std. Deviation
Skewness
Kurtosis

Statistic
-0.002
0.983
0
-0.178
-0.032
1.024
-0.003
0.03
-0.023
1.005
0.093
-0.194
0.06
0.984
0.091
0.147
0.048
1.002
-0.139
-0.019
0.015
1.025
0.029
-0.162
0.039
0.96
0.056
-0.163
-0.014
0.989
0.006
-0.039
0.042
0.998
-0.054
-0.055

Bootstrap method (10,000 iterations)

95% Confidence Interval
Bias
Std. Error
Lower
Upper
0
0.031
-0.063
0.058
-0.001
0.021
0.941
1.024
0.001
0.068
-0.135
0.134
-0.004
0.115
-0.402
0.058
0.001
0.032
-0.095
0.031
-0.001
0.023
0.978
1.069
-0.001
0.073
-0.144
0.136
-0.004
0.116
-0.193
0.264
0
0.031
-0.086
0.037
0
0.021
0.965
1.046
0
0.064
-0.035
0.219
0.001
0.111
-0.399
0.04
0.001
0.031
0.001
0.122
-0.001
0.023
0.94
1.029
0
0.084
-0.073
0.255
-0.009
0.171
-0.179
0.483
0.001
0.032
-0.014
0.112
0
0.022
0.958
1.046
-0.002
0.078
-0.293
0.021
-0.002
0.153
-0.306
0.299
0.001
0.032
-0.047
0.081
-0.001
0.022
0.981
1.067
0.001
0.069
-0.105
0.166
-0.002
0.121
-0.39
0.081
0
0.03
-0.019
0.1
0
0.021
0.92
1.001
0.001
0.069
-0.077
0.194
-0.004
0.108
-0.374
0.045
0
0.03
-0.073
0.045
-0.001
0.021
0.948
1.030
0
0.068
-0.126
0.136
-0.002
0.103
-0.238
0.172
0
0.031
-0.02
0.102
-0.001
0.022
0.956
1.041
0
0.071
-0.193
0.086
-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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13

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