Using the angular uniform in the Box-Muller radius breaks normality
ID: using-the-angular-uniform-in-the-box-muller-radius-breaks-normality
If is uniform on , the displayed random variable is not standard normal. For it is nonnegative; for , its radius is at most , so it is always bounded below by . A standard normal distribution has an unbounded lower tail.
The Box-Muller transform instead uses a common radius independent of the angle in both Cartesian coordinates. Their polar density is , and dividing by the coordinate Jacobian gives the product of two standard normal densities. Changing a logarithm's uniform input changes the distribution, even if the resulting expression superficially resembles that formula.
New to topics? Read the docs here!