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Date: 25-4-2021
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Date: 22-2-2021
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Date: 24-4-2021
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A transformation which transforms from a two-dimensional continuous uniform distribution to a two-dimensional bivariate normal distribution (or complex normal distribution). If and are uniformly and independently distributed between 0 and 1, then and as defined below have a normal distribution with mean and variance .
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This can be verified by solving for and ,
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Taking the Jacobian yields
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REFERENCES:
Box, G. E. P. and Muller, M. E. "A Note on the Generation of Random Normal Deviates." Ann. Math. Stat. 29, 610-611, 1958.
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