how to gerenate gaussian and rayleigh RV from uniform RV?

Hi all,

I have a question related with statistic. I read some other website and they said that: "An easy way to approximate normal distribution is to add three random numbers:

    G = X + X + X

    X = a uniformly distributed random number between -1 and 1.

    G ~ a standard normal random number."
and
"
If X and Y are independent Gaussian random variables with mean 0 and standard deviation sigma, then sqrt(X^2 + Y^2) has a Rayleigh distribution with parameter sigma."

I wonder if anyone can confirm this and show me some other related articles Thanks so much,

Answer 1

[NGuyen Tuan]

site: http://www.protonfish.com/random.shtml and http://wiki.answers.com/Q/Relationship_between_rayleigh_distribution_and_gaussian_distribution

Answer 2

[Image Analyst]

See attached demo to generate random numbers from a Rayleigh distribution and inverse power law distribution.