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Polar Generation of Random Variates with the t-Distribution
Ralph W. Bailey
Mathematics of Computation
Vol. 62, No. 206 (Apr., 1994), pp. 779-781
Published by: American Mathematical Society
Stable URL: http://www.jstor.org/stable/2153537
Page Count: 3
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The "polar" method of Box and Muller uses two independent uniform variates in order to generate two independent normal variates. It can be adapted so that two variates from Student's t-distribution with parameter ν are generated, though the two variates are now not independent. An algorithm based on the polar method is exact, inexpensive, and valid for all
$\nu > 0$.
Mathematics of Computation © 1994 American Mathematical Society