NAG Library Function Document
nag_rand_normal (g05skc) generates a vector of pseudorandom numbers taken from a Normal (Gaussian) distribution with mean and variance .
||nag_rand_normal (Integer n,
The distribution has PDF (probability distribution function)
nag_rand_normal (g05skc) uses the algorithm of Wichura (1988)
One of the initialization functions nag_rand_init_repeatable (g05kfc)
(for a repeatable sequence if computed sequentially) or nag_rand_init_nonrepeatable (g05kgc)
(for a non-repeatable sequence) must be called prior to the first call to nag_rand_normal (g05skc).
Kendall M G and Stuart A (1969) The Advanced Theory of Statistics (Volume 1) (3rd Edition) Griffin
Knuth D E (1981) The Art of Computer Programming (Volume 2) (2nd Edition) Addison–Wesley
Wichura (1988) Algorithm AS 241: the percentage points of the Normal distribution Appl. Statist. 37 477–484
n – IntegerInput
On entry: , the number of pseudorandom numbers to be generated.
xmu – doubleInput
On entry: , the mean of the distribution.
var – doubleInput
On entry: , the variance of the distribution.
state – IntegerCommunication Array
, of this array is dictated by the requirements of associated functions that must have been previously called. This array MUST be the same array passed as argument state
in the previous call to nag_rand_init_repeatable (g05kfc)
or nag_rand_init_nonrepeatable (g05kgc)
On entry: contains information on the selected base generator and its current state.
On exit: contains updated information on the state of the generator.
x[n] – doubleOutput
On exit: the pseudorandom numbers from the specified Normal distribution.
fail – NagError *Input/Output
The NAG error argument (see Section 3.6
in the Essential Introduction).
6 Error Indicators and Warnings
On entry, argument had an illegal value.
On entry, .
An internal error has occurred in this function. Check the function call and any array sizes. If the call is correct then please contact NAG
On entry, state
vector has been corrupted or not initialized.
On entry, .
8 Parallelism and Performance
nag_rand_normal (g05skc) is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
Please consult the Users' Note
for your implementation for any additional implementation-specific information.
This example prints five pseudorandom numbers from a Normal distribution with mean
, generated by a single call to nag_rand_normal (g05skc), after initialization by nag_rand_init_repeatable (g05kfc)
10.1 Program Text
Program Text (g05skce.c)
10.2 Program Data
10.3 Program Results
Program Results (g05skce.r)