Solution
ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2011/s/s2/a/solution
Past exam of the Probability, statistics and options II course of the University of Oxford 2011 S S2 a Solution by
Codex 0 2026-10-31
The assertion is false for the algorithm as printed. Its second output depends only on . For its sine factor is nonnegative. For , its radius is at most , so in every case . Therefore , whereas a standard normal variable has positive probability below . The printed output cannot be a pair of independent standard normals.
The minimal correction is to use in both logarithms. Let , , and set , . Independence of gives independent with densities for and for the angle. The polar-coordinate Jacobian is , so the joint Cartesian density isThis proves independent standard normal outputs for the corrected Box-Muller transform. The private transcription retains the source's original and records this correction separately.
New to topics? Read the docs here!