GENERATING RANDOM SEQUENCES

Someone - probably Knuth (1981) - has remarked that a sequence with Uniform distribrution can form the basis for generating sequences with any other distribution. A corollary is that a well-shuffled bunch of consecutive integers is the ideal primary ingredient for a Uniform distribution sequence. So, the three steps needed to make a sequence with specified distribution are,

• Shuffle a set of consecutive integers.
• Transform these integers into floating-point numbers covering the range $\{0,1\}$.
• Map this Uniform distribution over to the required (e.g. Normal) distribution.