[RNG-167] Sampling from a T-distribution

• Type: New Feature
• Status: Closed
• Priority: Minor
• Resolution: Implemented
• Affects Version/s: 1.4
• Fix Version/s: 1.5
• Component/s: sampling
• Assignee: Unassigned
• Reporter: Alex Herbert
• Created: 22/Jan/22 14:45
• Updated: 10/Oct/22 11:54
• Resolved: 02/Mar/22 01:07

Description

The Box-Muller method for sampling from a Normal distribution can be extended to the T-distribution.

https://en.wikipedia.org/wiki/Student%27s_t-distribution#Monte_Carlo_sampling

Bailey RW (1994). "Polar Generation of Random Variates with the t-Distribution". Math. Comput. 62 (206): 779–781.

https://doi.org/10.2307%2F2153537

The sampler can be used within Commons Statistics for the T-distribution implementation.

Issue Links

• is related to: STATISTICS-25 T Distribution Inverse Cumulative Probability Function gives the Wrong Answer