Fast Gaussian random number generation using linear transformations

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].