simulation by hand

A rather weird question on X validated this week was about devising a manual way to simulate (a few) normal variates. By manual I presume the author of the question means without resorting to a computer or any other business machine. Now, I do not know of any real phenomenon that is exactly and provably Normal. As analysed in a great philosophy of science paper by Aidan Lyon, the standard explanations for a real phenomenon to be Normal are almost invariably false, even those invoking the Central Limit Theorem. Hence I cannot think of a mechanical device that would directly return Normal generations from a Normal distribution with known parameters. However, since it is possible to simulate by hand Uniform U(0,1) variates [up to a given precision] using a chronometre or a wheel, calls to versions of the Box-Müller algorithm that do not rely on logarithmic or trigonometric functions are feasible, for instance by generating two Exponential variates, x and y, until 2y>(1-x)², x being the output. And generating Exponential variates is easy provided a radioactive material with known half-life is available, along with a Geiger counter. Or, if not, by calling von Neumann’s exponential generator. As detailed in Devroye’s simulation book.

After proposing this solution, I received a comment from the author of the question towards a simpler solution based, e.g., on the Central Limit Theorem. Presumably for simple iid random variables such as coin tosses or dice experiments. While I used the CLT for simulating Normal variables in my very early days [just after programming on punched cards!], I do not think this is a very good or efficient method, as the tails grow very slowly to normality. By comparison, using the same amount of coin tosses to create a sufficient number of binary digits of a Uniform variate produces a computer-precision exact Uniform variate, which can be exploited in Box-Müller-like algorithms to return exact Normal variates… Even by hand if necessary. [For some reason, this question attracted a lot of traffic and an encyclopaedic answer on X validated, despite being borderline to the point of being proposed for closure.]

One Response to “simulation by hand”

  1. Thanks Christian for commenting this question about simulating normal rv’s. Simulation procedures are much better covered now in teaching programmes than a couple of decades ago. So the question might seem trivial.
    In fact as you pointed it out, it depends mainly of what the person meant by manually. Does it mean without any calculator device? That sounds meaningless today.
    The simplest procedure I thought of would be to pick up 12 uniform (0,1) draws, add them and substract 6. But it is a more a matter for an excercise than for a useful tool to apply as it is neither good nor efficient.

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