Implement a normal deviate generator: i

Statistics Nov 18, 2020

Implement a normal deviate generator: i. using the transformation method by numerically inverting the erfc function (see section 5.4 on page 90) using Newton–Raphson’s method (alternatively, the third edition of numerical recipes (Press et al., 2007) provides an inverse of the CDF for a normal distribution); ii. using the standard Box–Muller method; iii. using the rejection method from Cauchy deviates. Time how long it takes each implementation to generate 106 random deviates.