Appendix 12: Cumulative Distribution,

Percentile Functions, and

Random Numbers

The functions described in this appendix are used in more than one procedure. They
are grouped into the following categories:
• Special Functions. Gamma function, beta function, incomplete gamma function
(ratio), incomplete beta function (ratio), and standard normal function

• Continuous Distributions. Beta, Cauchy, chi-square, exponential, F, gamma,

Laplace, logistic, lognormal, normal, Pareto, Student’s t, uniform, and Weibull

• Discrete Distributions. Bernoulli, binomial, geometric, hypergeometric,

negative binomial, and Poisson

• Noncentral Continuous Distributions. Noncentral beta, noncentral chi-square,

noncentral F, and noncentral Student’s t

Notation
The following notation is used throughout this appendix unless otherwise stated:

f (x) Density function of continuous random variable X

F(x) Cumulative distribution function of X
xp 3 8
100pth percentile such that F x p = p, for 0 ≤ p ≤ 1

Prob(X = x) Probability density (or mass) function of discrete random

variable X
0
Prob X ≤ x 5 Cumulative probability density function of X

1
2 Appendix 12

Special Functions
Gamma Function

Γa =05 I
0
∞
x a −1e − x dx a>0

Properties
• 05
Γ 1 =1

• Γ01 / 25 = π

• Γ0 a5 = 0a − 15Γ0 a − 15 a >1

• Γ0 a5 = 0a − 15! when a is a positive integer

Note. Since Γ(a) can be very large even for a moderate value of a, the (natural)
logarithm of Γ(a) is computed instead.
References. The ln(Γ(a)) function: CACM 291 (1966) and AS 245 (1989).

Beta Function

B( a, b) =
I 1

0
0 5
x a −1 1 − x b −1
dx a > 0, b > 0

Properties
• 0 5
B a,1 = 1 / a

• B3 12 , 12 8 = π

• B0a, b5 = Γ 0a5Γ 0b5 / Γ 0a + b5

• B0b, a5 = B0a, b5
 Appendix 12 3

• 0 5 0 50
B a, b = b − 1 B a + 1, b − 1 / a5
• B0a, b5 = 0 a + b5B0 a + 1, b5 / a

Note. Usually, B(x, y) is calculated as:

0 5 3 1 0 56 2 0 57 2 0 578
B x, y = exp ln Γ x + ln Γ y − ln Γ x + y

Incomplete Gamma Function (Ratio)

IG( x; a) =
I
0
x 1 a −1 − t
Γ ( a)
t e dt x≥0

x p = IG −1 ( p; a) ⇔ p = IG( x p ; a) 0 ≤ p ≤1

for a > 0

Properties
• IG( x;1) = 1 − e − x

• Using integration by parts, for a > 1,

1
IG( x; a) = x a e − x + IG( x; a + 1)
Γ (a + 1)

0 5
Note. IG -1 1, a = ∞ .
References. AS 32 (1970), AS 147 (1980), and AS 239 (1988).

Incomplete Beta Function (Ratio)

IB( x; a, b) =
I x 1
0 B( a, b )
t a −1 (1 − t ) b −1 dt 0 ≤ x ≤1

x p = IB −1 ( p; a, b) ⇔ p = IB( x p ; a, b) 0 ≤ p ≤1
for a > 0 and b > 0
4 Appendix 12

Properties
• IB( x; a,1) = x a

• 3
Using the transformation t = sin 2 θ , we get IB x; 12 , 12 = π2 sin −1 x 8
• 0
IB( x; a, b) = 1 − IB 1 − x; b, a 5
• Using integration by parts, we get, for b > 1,

0
IB x; a, b =5 ΓΓ00aa5Γ+0bb55 x 01 − x5
a b −1
0
+ IB x; a + 1, b − 1 5
• Using the fact that
d a
dx
0 5
x 1− x b
0 5
= ax a −1 1 − x b −1
0 5 0 5
− a + b xa 1− x b −1

we have

0
IB x; a, b =5 Γ0Γa0+a1+5Γb05b5 x 01 − x5
a b
0
+ IB x; a + 1, b 5
References. AS 63 (1973); Inverse: AS 64 (1973), AS 109 (1977).

Standard Normal Function

05
Φ x =
I x 1 −u2 / 2
−∞ 2π
e du −∞ < x < ∞

05
x p = Φ −1 p ⇔ Φ x = p 05
For Φ −1 , the Abramowitz and Stegun method is used.
References. AS 66 (1973); Inverse: AS 111 (1977) and AS 241 (1988). See Patel
and Read (1982) for related distributions.
 Appendix 12 5

Continuous Distributions
Beta 0 x; a, b5. 0 ≤ x ≤ 1, a > 0 and b > 0

0 5 B0a1, b5 x 01 − x5
f x = a −1 b −1

F0 x 5 = IB0 x; a, b5
x = IB 0 p; a, b5
p
−1
0 ≤ p ≤1

Note. Uniform(0,1) is a special case of beta for a = 1 and b = 1.

Random Number

Special case
1. Generate U from Uniform(0,1).
2. 0
If a = 1, set X = 1 − 1 − U 1/ b . 5
3. If b = 1, set X = U 1/ a
.
4. If both a = 1 and b = 1, set X = U .

Algorithm BN due to Ahrens and Dieter (1974) for a > 1 and b > 1
1. 05
Set e = a − 1, f = b − 1, c = e + f , g = c ln c , u = e / c, and s = 0.5 / c .
2. Generate Y from N(0,1) and set X = sY + u .
3. If X < 0 or X > 1, go to step 2.
4. Generate U from Uniform(0,1).
5. 05 4 0 5 10 5 6 9
If ln U ≤ e ln X / e + f ln 1 − X / f + g + 0.5Y 2 , finish; otherwise go to
step 2.

References. CDF: AS 63 (1973); ICDF: AS 64 (1973) and AS 109 (1977); RV: AS

134 (1979), Ahrens and Dieter (1974), and Cheng (1978).
6 Appendix 12

Cauchy 0 x; a, b5. − ∞ < x < ∞, − ∞ < a < ∞ and b > 0

05 x−a   
2 −1
f x =
1
πb
1+
b   
05 1 1 x−a  
F x = + tan −1
2 π b  
xp = a + b tan2π 0 p − 1 / 257 0 ≤ p ≤1

Random Number

Inverse CDF algorithm

1. Generate U from Uniform(0,1).
2. 10
Set X = a + b tan π U − 1 / 2 . 56
Chi-Square 0 x; a5. x ≥ 0 and a > 0

05
f x = a/ 2
1 0 5
x a / 2 −1e − x / 2
2 Γ a/2 0 5
F0 x 5 = IG3 ; 8x a
2 2

by the incomplete gamma function on p. 4.

x p =2 IG −1  p; a  0≤ p≤1
2

Note. It is the Gamma(x; a/2, 1/2) distribution.

Random Number
Generate X from the Gamma(a/ 2, 1/2) distribution.

References. CDF: CACM 299 (1967); ICDF: AS 91 (1975), AS R85(1991), and

CACM 451 (1973).
 Appendix 12 7

Exponential 0 x; a5. x ≥ 0, a > 0

05
f x = ae − ax
F0 x 5 = 1 − e − ax

x p = − ln01 − p5
1
0 ≤ p ≤1
a

Note. This is the Gamma(x; 1, a) distribution.

Random Number

Inverse CDF algorithm

Generate U from Uniform(0,1); X = − ln 1 − U / a . 0 5
F 0 x; a, b5. x ≥ 0 and b > 0

−0 a + b 5 / 2
0 5 B0a / 21, b / 25  ab  x 0a/ 25−1 1 + ab x
a/2
f x =

F0 x 5 = IB
 ax ; a , b 
 b + ax 2 2 
 −1
1 6 
xp = 
b IB p; a / 2, b / 2
1 6 
0≤ p≤1

a 1 − IB −1 p; a / 2, b / 2

Random Number
Using the chi-square distribution
1. Generate Y and Z independently from chi-square(a) and chi-square(b),
respectively.
2. 0 50 5
Set X = Y / a / Z / b .
References. CDF: CACM 332 (1968). ICDF: use inverse of incomplete beta
function.
8 Appendix 12

Gamma 0 x; a, b5. x ≥ 0, a > 0, and b > 0

0 5 Γb0a5 x e
a
a −1 − bx
f x =

F0 x 5 = IG1bx; a6

x = IG 1 p; a6
1 −1
p 0 ≤ p ≤1
b

Note. The Erlang distribution is a gamma distribution with integers a and b = 1.

Random Number

Special case
If a = 1 and b > 0, generate X from an exponential distribution with parameter b.

Algorithm GS due to Ahrens and Dieter (1974) for 0 < a < 1 and b = 1
1. 0 5
Generate U from Uniform(0,1). Set c = e + a / e , where e = exp 1 . 05
2. Set P = cU . If P > 1 , go to step 4.
3. 0P ≤ 15 Set X = P1/ a . Generate V from Uniform(0,1). If V > exp0− x 5 , go to
step 1; otherwise finish.
4. 10 5 6
( P > 1) Set X = − ln c − P / a . If X < 0 , go to step 1; otherwise go to step 5.
5. Generate V from Uniform(0,1). If V > X a −1 , go to step 1; otherwise finish.

Algorithm due to Fishman (1976) for a > 1 and b = 1

1. Generate Y from Exponential (1).
2. Generate U from Uniform(0,1).
3. 0 50 5
If ln U ≤ a − 1 1 − Y + ln Y , X = aY ; otherwise go to Step 1.

References. CDF: AS 32 (1970) and AS 239 (1988); ICDF: Use the relationship
between gamma and chi-square distributions. RV: Ahrens and Dieter (1974),
Fishman (1976), and Tadikamalla (1978).
 Appendix 12 9

Laplace 0 x; a, b5. − ∞ < x < ∞, − ∞ < a < ∞, and b > 0

05
f x =
1 − x −a / b
2b
e

% 0 5
0 5 K&1 −e e0 5
x −a / b
1 x≤a
F x = 2
K' 1
2
a− x / b
x>a

x =&
%Ka + b ln02 p5 0≤ p≤ 1

K'a − b ln2201 − p57

2
p 1
2 < p ≤1

Note. The Laplace distribution is also known as the double exponential distribution.

Random Number
Inverse CDF algorithm
1. Generate Y and U independently from Exponential(1/ b) and Uniform(0,1),
respectively.
2. If U ≥ 12 , set X = a + Y ; otherwise set X = a − Y .

Logistic 0 x; a, b5. − ∞ < x < ∞, − ∞ < a < ∞, and b > 0

0 5 b1 e 0 5 41 + e 0 5 9
f x = − x−a /b − x −a / b
−2

F0 x 5 =
1
1+ e 0 5
− x −a / b

x = a + b ln
 p  0 ≤ p ≤ 1
p
1− p

Random Number
Inverse CDF algorithm
1. Generate U from Uniform(0,1).
2. 1 0
Set X = a + b ln U / 1 − U . 56
10 Appendix 12

Lognormal 0 x; a, b5. x ≥ 0, a > 0, and b > 0

−1 ln 0 x / a 56 4 9
05
2
1 / 2b 2
f x = e
xb 2π

0 5  1b ln ax  

F x =Φ

x p = ae
05
bΦ −1 p
0 ≤ p ≤1

Random Number
Inverse CDF algorithm
1. Generate Z from N(0,1).
2. Set X = a exp bZ . 0 5
Normal 0 x; a, b5. − ∞ < x < ∞, − ∞ < a < ∞, and b > 0

0 5 b 12π e 0
f x =
5 4 9
− x − a 2 / 2 b2

F0 x 5 = Φ
 x − a
 b 
x = a + bΦ 0 p5
p
−1
0 ≤ p ≤1

For Φ and Φ −1 , see “Standard Normal Function” on p. 5.

Random Number
Kinderman and Ramage (1976) method
1. Generate as X = a + bz , where z is an N(0,1) random number.
References. CDF: AS 66 (1973); ICDF: AS 111 (1977) and AS 241 (1988); RV:
CACM 488 (1974) and Kinderman and Ramage (1976).
 Appendix 12 11

Pareto 0 x; a, b5. x ≥ a > 0 and b > 0

0 5 ba  ax 
b +1
f x =

F0 x 5 = 1 −
 a b

 x
x = a01 − p5
−1/ b
p 0 ≤ p ≤1

Random Number
Inverse CDF
1. Generate U from Uniform(0,1).
2. 0
Set X = a 1 − U −1/ b . 5
Student’s t 0 x; a5. − ∞ < x < ∞ and a > 0

  0 5
− a +1 / 2
05
f x =
1
0
a B a / 2,1 / 2
1+
x2
a 5  
%K 1 IB a ; a , 1 
F0 x 5 = &
K2  a + x 2 2 2
x≤0

KK1- 12 IB a ; 2a , 12  x>0

' a+x 2

%K    a 1   
K− a1 /  IB  2 p; 2 , 2   − 1
−1
0≤ p≤ 1
=&
2

KK a41 / 4IB 3201 − p5; , 89 − 19

xp
−1
' < p ≤1
a 1 1
2 2 2

When a = 1, this is the Cauchy distribution (Cauchy(x; 0, 1)).

12 Appendix 12

Random Number

Special case
If a = 1, generate X from a Cauchy (0, 1) distribution.

Using the normal and the chi-square distributions

1. Generate Z from N(0,1) and V from Chi-square(a) independently.
2. Set X = Z / V / a .

References. CDF: AS 3 (1968), AS 27 (1970), and CACM 395 (1970); ICDF:

CACM 396 (1970).

Uniform 0 x; a, b5. a ≤ x ≤ b, −∞ < a < b < ∞

0 5 b −1 a
f x =

F0 x 5 =
x−a
b−a
x = a + 0b − a 5 p
p 0 ≤ p ≤1

Random Number

Inverse CDF algorithm

1. Generate U from Uniform(0,1).
2. 0 5
Set X = a + b − a U .

References. Uniform of (0,1) is generated by the method in Schrage (1979).

Weibull 0 x; a, b5. x ≥ 0, a > 0, and b > 0

0 5 ba  ax  e 0 5
b −1
− x/a b
f x =

F0 x 5 = 1 − e 0 5
− x/a b

x = a2− ln01 − p57

1/ b
p 0 ≤ p ≤1
 Appendix 12 13

Random Number

Inverse CDF algorithm

1. Generate U from Uniform(0,1).
2. 1 0
Set X = a − ln 1 − U 561/ b
.

Discrete Distributions
Bernoulli 0 x; a5. x = 0,1 and 0 ≤ a ≤ 1

0 5 0 5
Prob X = x = a x 1 − a 1− x
%1 − a x = 0
Prob0 X ≤ x 5 = &
'1 x = 1

Random Number

Special case
If a = 0 , X = 0 . If a = 1, X = 1.

Direct algorithm for 0 < a < 1

1. Generate U from Uniform(0,1).
2. Set X = 1 if U ≤ a (a success) and X = 0 if U > a (a failure).

Binomial 0 x; a, b5. x = 0,1,..., a; a = 1,2,..., and 0 ≤ b ≤ 1

0
Prob X = x =5  ax b 01 − b5
x a− x

%1 − IB0b; x + 1, a − x 5
Prob0 X ≤ x 5 = &
x = 0,1,..., a − 1
'1 x=a
14 Appendix 12

Random Number

Special case
If b = 0, X = 0. If b = 1, X = a.

Algorithm BB due to Ahrens and Dieter (1974) for 0 < b < 1

1. Set c = a, d = b, k = 0, y = 0, and h = 1.
2. If c < 40 , generate J from Binomial(c, d) using algorithm BU. X = k + J .
3. If c is odd, go to step 4. If c is even, set c = c − 1 and generate U from
Uniform(0,1). If U ≤ d , set k = k + 1.
4. 0 5
Set s = c + 1 / 2 and generate S from Beta(s, s). Set G = hS and Z = y + G .
5. 0 5
If Z ≤ b , set y = Z , h = h − d , d = b − Z / h, and k = k + s ; otherwise set
0 5
h = G and d = b − y / h .
6. Set c = s − 1 and go to step 2.
Computation time for algorithm BB is O(log a).
References. RV: Ahrens and Dieter (1974).

Geometric 0 x; a5. x = 1,2,... and 0 < a ≤ 1

0 5 0 5
Prob X = x = a 1 − a x −1
Prob0 X ≤ x 5 = 1 − 01 − a5 x

Note. Geometric is a special case of the negative binomial (x; 1, a).

Random Number

Special case
If a = 1, X = 1.

Direct algorithm for 0 < a < 1

1. Set X = 1.
2. Generate U from Uniform(0,1).
3. If U > a , set X = X + 1 and go to step 2; otherwise finish.
 Appendix 12 15

Hypergeometric 0 x; a, b, c5. x = max00, b + c − a5, K, min0c, b5; a = 1,2,K; b = 1,2,K, a

and c = 1,2,K, a

 c  a − c
Prob0 X = x 5 =
 x   b − x
 a
 b
Prob0 X ≤ x 5 = ∑ Prob0 X = k 5
x

k = max( 0,b + c − a )

Random Number

Special case
If b = a, X = c. If c = a, X = b .

Direct algorithm
1. (Initialization) X = 0, g = c, h = b, t = a .
2. Do the following loop exactly b times:
Begin Loop
i. Generate U from Uniform(0,1).
ii. 0 5
If U ≤ g / t , set X = X + 1, g = g − 1, else h = h − 1 .
iii. If g = 0 , go to step 3.
iv. If h = 0 , set X = X + b − i , where i (from 1 to b) is the loop index. Go to
step 3.
v. Set t = t − 1.
End Loop
3. Finish.
References. CDF: AS 152 (1989), AS R77 (1989), and AS R86 (1991).
16 Appendix 12

Negative Binomial 0 x; a, b5. x = a, a + 1,K; a = 1,2,K and 0 < b ≤ 1

0 5  ax −− 11 b 01 − b5
Prob X = x = a x −a

Prob0 X ≤ x 5 = IB0b; a, x − a + 15

Random Number

Special case
If b = 1, X = a .

Direct algorithm
1. 1
Generate G from Gamma a, b / 1 − b . 0 56
2. If G = 0 , go to step 1. Otherwise generate P from Poisson (G).
3. Compute X = P + a .

Poisson 0 x; a5. x = 0,1,2,K and a > 0

0 5 ax ! e
x
−a
Prob X = x =

Prob0 X ≤ x 5 = 1 − IG0 a; x + 15

Random Number

Algorithm PG due to Ahrens and Dieter (1974)

1. (Initialization) Set X = 0 and w = a .
2. If w > 16, go to step 6.
3. 0 5
Set c = exp − w and p = 1.
4. Generate U from Uniform(0,1). Set p = pU .
5. If p < c , continue with step 6; otherwise set X = X + 1 and go to step 4.
6. Set n = 7w / 8 . Generate G from Gamma(n, 1).
7. 0 5
If G > w , generate Y from Binomial n − 1, w / G , set X = X + Y .
8. If G ≤ w , set X = X + n, w = w − G, and go to step 2.
 Appendix 12 17

Notes. [y] means the integer part of y.

Steps 3 to 5 of Algorithm PG are in fact the direct algorithm.
References. RV: Ahrens and Dieter (1974).

Noncentral Continuous Distributions

Noncentral Beta 0 x; a, b, c5. 0 ≤ x ≤ 1, a > 0, b > 0, and c ≥ 0

0 5 ∑ 1j !  2c 
∞ j
e −c / 2
0 5
x a + j −1 1 − x b −1
f x =
j =0
0 5
B a + j; b

0 5 ∑ 1j !  2c 
∞
0 5
j
F x = e − c / 2 IB x; a = j, b
j=0

Note. c is the noncentrality parameter. If c = 0 , F(x) is the (central) beta

distribution function.
References. CDF: Abramowitz and Stegun (1965, Chapter 26), AS 226 (1987), and
AS R84 (1990).

Noncentral Chi-Square 0 x; a, c5. x ≥ 0, a > 0, and c ≥ 0

0 5 ∑ 1j !  2c 
∞ j
x a / 2 + j −1e − x / 2
f x = e −c / 2
j =0
0
2 a/2+ j Γ a / 2 + j 5
1  c  x ; a + j
∞
F0 x 5 = ∑
j

j!  2 2 2 
e − c / 2 IG
j=0

The noncentral chi-square random variable is generated as the sum of squares of a

independent normal random variates each with mean µ i and variance 1. Then
c= ∑µ i
2 .

Note. c is the noncentrality parameter. If c = 0 , F(x) is the (central) chi-square

distribution function.
References. CDF: Abramowitz and Stegun (1965, Chapter 26), AS 170 (1981), AS
231 (1987). Density: AS 275 (1992).
18 Appendix 12

Noncentral F 0 x; a, b, c5. x ≥ 0, a > 0, b > 0, and c ≥ 0

0 a / b5 10 5 6
0 5 ∑ 1j !  2c  1 + a x 
∞ j a/ 2+ j − a +b / 2+ j
e −c / 2
 b
a / 2 + j −1
B0a / 2 + j, b / 25
f x = x
j =0

0 5 ∑ 1j !  2c   ax ; a + j, b 
∞ j
F x =
j=0
e −c / 2 IB
 b + ax 2 2 
The noncentral F random variable is generated as the ratio between two
independent chi-square random variables. The numerator is a noncentral chi-square
random variable (with parameters a and c) divided by a. The denominator is a
central chi-square random variable (with parameter b) divided by b.
Note. c is the noncentrality parameter. If c = 0 , F(x) is the (central) F distribution
function.
References. CDF: Abramowitz and Stegun (1965, Chapter 26).

Noncentral Student’s t 0 x; a, c5. − ∞ < x < ∞, a > 0, and - ∞ < c < ∞

∞
20 5 7 x 1 + x  0 5
2 − a + j +1 / 2
0 5 ∑ 1j ! 3c 2 8 Γ a + j +1 / 2 j

Γ0 a / 25Γ 01 / 25 a 0 5  a 
j − c2 / 2
f x = e
j +1 / 2
j =0

%K 1 1 ∞
20 5 7 IB a ; a , j + 1
Γ j +1 / 2
KK 2 ∑ j ! 3−c 2 8 e
j −c2 / 2
Γ01 / 25 a+ x 2 2  2
x≤0
F0 x 5 = & j=0

KK1 − 1 ∑ 1 3c 2 8 e Γ 20 j + 15 / 27  a a j + 1
∞
IB
 a + x ; 2 , 2 
j −c 2 / 2
Γ 01 / 25
x>0
K' 2 j !j =0
2

Special case
05
F 0 = 1− Φ c 05
The noncentral Student’s t random variable is generated as the ratio between two
independent random variables. The numerator is a normal random variable with
mean c and variance 1. The denominator is a central chi-square random variable
(with parameter a) divided by a.
 Appendix 12 19

Note. c is the noncentrality parameter. If c = 0 , F(x) is the (central) Student’s t

distribution function.
References. CDF: Abramowitz and Stegun (1965, Chapter 26), AS 5 (1968), AS 76
(1974), and AS 243 (1989).

Algorithm Index
AS 3: Cooper (1968a)
AS 5: Cooper (1968b)
AS 27: Taylor (1970)
AS 32: Bhattacharjee (1970)
AS 63: Majumder and Bhattacharjee (1973a)
AS 64: Majumder and Bhattacharjee (1973b)
AS 66: Hill (1973)
AS 76: Young and Minder (1974)
AS 91: Best and Roberts (1975)
AS 109: Cran, Martin, and Thomas (1977)
AS 111: Beasley and Springer (1977)
AS 134: Atkinson and Whittaker (1979)
AS 147: Lau (1980)
AS 152: Lund (1980)
AS 170: Narula and Desu (1981)
AS 226: Lenth (1987)
AS 231: Farebrother (1987)
AS 239: Shea (1988)
AS 241: Wichura (1988)
AS 243: Lenth (1989)
AS 245: Macleod (1989)
AS 275: Ding (1992)
AS R85: Shea (1991)
CACM 291: Pike and Hill (1966)
20 Appendix 12

CACM 299: Hill and Pike (1967)

CACM 332: Dorrer (1968)
CACM 395: Hill (1970a)
CACM 396: Hill (1970b)
CACM 451: Goldstein (1973)
CACM 488: Brent (1974)

References
Abramowitz, M., and Stegun, I. A. eds. 1970. Handbook of mathematical functions.
New York: Dover Publications.

Ahrens, J. H., and Dieter, U. 1974. Computer methods for sampling from gamma,
beta, Poisson and binomial distributions. Computing, 12: 223–246.

Atkinson, A. C., and Whittaker, J. 1979. Algorithm AS 134: The generation of beta
random variables with one parameter greater than and one parameter less than
1. Applied Statistics, 28: 90–93.

Beasley, J. D., and Springer, S. G. 1977. Algorithm AS 111: The percentage points
of the normal distribution. Applied Statistics, 26: 118–121.

Berger, R. L. 1991. AS R86: A remark on algorithm AS 152. Applied Statistics, 40:

374–375.

Best, D. J., and Roberts, D. E. 1975. Algorithm AS 91: The percentage points of
the c2 distribution. Applied Statistics, 24: 385–388.

Bhattacharjee, G. P. 1970. Algorithm AS 32: The incomplete gamma integral.

Applied Statistics, 19: 285–287.

Box, G. E. P., and Muller, M. E. 1958. A note on the generation of random normal
deviates. Annals of Mathematical Statistics, 29: 610–611.

Bratley, P., Fox, B. L., and Schrage, L. E. 1987. A guide to simulation. New York:
Springer-Verlag.

Brent, R. P. 1974. Algorithm 488: A Gaussian pseudo–random number generator.

Communications of the ACM, 17: 704–706.
 Appendix 12 21

Cheng, R. C. H. 1978. Generating beta variates with nonintegral shape parameters.

Communications of the ACM, 21: 317–322.

Cooper, B. E. 1968a. Algorithm AS 3: The integral of Student’s t distribution.

Applied Statistics, 17: 189–190.

Cooper, B. E. 1968b. Algorithm AS 5: The integral of the noncentral t distribution.

Applied Statistics, 17: 193–194.

Cran, G. W., Martin, K. J., and Thomas, G. E. 1977. Algorithm AS 109: A remark
on algorithms: AS 63 and AS 64 (replacing AS 64). Applied Statistics, 26: 111–
114.

Ding, C. G. 1992. Algorithm AS 275: Computing the noncentral chi-squared

distribution function. Applied Statistics, 41: 478–482.

Dorrer, E. 1968. Algorithm 332: F-distribution. Communications of the ACM, 11:

115–116.

Farebrother, R. W. 1987. Algorithm AS 231: The distribution of a noncentral c2

variable with nonnegative degrees of freedom (Correction: 38: 204). Applied
Statistics, 36: 402–405.

Fishman, G. S. 1976. Sampling from the gamma distribution on a computer.

Communications of the ACM, 19: 407–409.

Frick, H. 1990. Algorithm AS R84: A remark on algorithm AS 226. Applied

Statistics, 39: 311–312.

Goldstein, R. B. 1973. Algorithm 451: Chi-square quantiles. Communications of

the ACM, 16: 483–485.

Hill, G. W. 1970a. Algorithm 395: Student’s t-distribution. Communications of the

ACM, 13: 617–619.

Hill, G. W. 1970b. Algorithm 396: Student’s t-quantiles. Communications of the

ACM, 13: 619–620.

Hill, I. D. 1973. Algorithm AS 66: The normal integral. Applied Statistics, 22: 424.

Hill, I. D., and Pike, A. C. 1967. Algorithm 299: Chi-squared integral.

Communications of the ACM, 10: 243–244.
22 Appendix 12

Jöhnk, M. D. 1964. Erzeugung von Betaverteilten und Gammaverteilten

Zufallszahlen. Metrika, 8: 5–15.

Kennedy, W. J., and Gentle, J. E. 1980. Statistical computing. New York: Marcel
Dekker.

Kinderman, A. J., and Ramage, J. G. 1976. Computer generation of normal random

variables. Journal of the American Statistical Association, 71: 893–896.
(Correction: 85: 212).

Lau, C. L. 1980. Algorithm AS 147: A simple series for the incomplete gamma
integral. Applied Statistics, 29: 113–114.

Lenth, R. V. 1987. Algorithm AS 226: Computing noncentral beta probabilities

(Correction: 39: 311–312). Applied Statistics, 36: 241–244.

Lenth, R. V. 1989. Algorithm AS 243: Cumulative distribution function of the

noncentral t distribution. Applied Statistics, 38: 185–189.

Lund, R. E. 1980. Algorithm AS 152: Cumulative hypergeometric probabilities.

Applied Statistics, 29: 221–223.

Macleod, A. J. 1989. Algorithm AS 245: A robust and reliable algorithm for the
logarithm of the gamma function. Applied Statistics, 38: 397–402.

Majumder, K. L., and Bhattacharjee, G. P. 1973a. Algorithm AS 63: The

incomplete beta integral. Applied Statistics, 22: 409–411.

Majumder, K. L., and Bhattacharjee, G. P. 1973b. Algorithm AS 64: Inverse of the

incomplete beta function ratio. Applied Statistics, 22: 412–414.

Marsaglia, G. 1962. Random variables and computers. Information theory

statistical decision functions random processes: Transactions of the third
Prague conference, J. Kozesnik, ed. Czechoslovak Academy of Science,
Prague, Czechoslovak. 499–510.

Mudholkar, G. S., Chaubrey, Y. P., and Lin, C. 1976a. Approximations for the
doubly noncentral F-distribution. Communications in Statistics, Part A, 5: 49–
53.

Mudholkar, G. S., Chaubrey, Y. P., and Lin, C. 1976b. Some Approximations for
the noncentral F-distribution. Technometrics, 18:351–358.
 Appendix 12 23

Narula, S. C., and Desu, M. M. 1981. Computation of probability and noncentrality

parameter of a noncentral chi-square distribution. Applied Statistics, 30: 349–
352.

Patel, J. K., and Read, C. B. 1982. Handbook of the normal distribution. New York:
Marcel Dekker.

Pike, M. C., and Hill, I. D. 1966. Algorithm 291: Logarithm of gamma function.
Communications of the ACM, 9: 684.

Schrage, L. 1979 A more portable Fortran random number generator. ACM

Transactions on Mathematical Software, 5, No. 2:132.

Shea, B. L. 1988. Algorithm AS 239: Chi-squared and incomplete gamma integral.

Applied Statistics, 37: 466–473.

Shea, B. L. 1989. AS R77: A remark on algorithm AS 152, Applied Statistics, 38:

199–204.

Tadikamalla, P. R. 1978. Computer generation of gamma random variables.

Communications of the ACM, 21: 419–422.

Taylor, G. A. R. 1970. Algorithm AS 27: The integral of Student’s t-distribution.

Applied Statistics, 19: 113–114.

Von Neumann, J. 1951. Various techniques used in connection with random digits.
National Bureau of Standards Applied Mathematics, Series 12: 36–38.

Wichura, M. J. 1988. Algorithm AS 241: The percentage points of the normal

distribution. Applied Statistics, 37: 477–484.

Young, J. C., and Minder, C. E. 1974. Algorithm AS 76: An integral useful in

calculating noncentral t and bivariate normal probabilities. Applied Statistics,
23: 455–457.