
 What David was referring to above is Marsaglia's ziggurat
 algorithm for generating normally distributed random numbers.
 Matlab has older version of this algorithm. David's implementation
 comes from the description given in TOMS.
Sorry, I might have misunderstood the question earlier. I thought the
question was about what random number generator was used in Matlab.
In the article I referenced, Cleve Moler says it is the same as an
Mfile available on the web (the Mfile is not the actual code, but it
is supposed to produce identical results). Even though there is an
example implementation available on a web site, it is not clear that
we can base the code in Octave on it. There is no stated copyright or
license in the file, but that doesn't mean we can use it.