We develop a method for generating pseudorandom sequences with Gaussian distribution. The method is based on completely uniformly
distributed sequences and linear transformations, such as the Fourier transform and Walsh transform. We obtain some discrepancy
estimates and make a numerical comparison of these two transformations. Furthermore, we show how this method can be used for
testing randomness. We remark that similar approaches are due to Gut, Egorov and Il’in [7], Yuen [26] and Rader [21].
AMS Subject Classification 62E25
Key words Walsh transform - Fourier transform - Gaussian random number generation - completely uniform distribution
The authors are supported by the Austrian-Hungarian Scientific Cooperation Programme, Project Nr. 10U3
This author is supported by the Austrian Science Foundation, Project Nr. P10223-PHY