6.32 G05 Random Number Generators

g05 - Random Number Generators

g05 Chapter Introduction

Routine Name Mark of Introduction Purpose
g05kfc 9 nag_rand_init_repeatable
Initializes a pseudorandom number generator to give a repeatable sequence
g05kgc 9 nag_rand_init_nonrepeatable
Initializes a pseudorandom number generator to give a non-repeatable sequence
g05khc 9 nag_rand_leap_frog
Primes a pseudorandom number generator for generating multiple streams using leap-frog
g05kjc 9 nag_rand_skip_ahead
Primes a pseudorandom number generator for generating multiple streams using skip-ahead
g05kkc 23 nag_rand_skip_ahead_power2
Primes a pseudorandom number generator for generating multiple streams using skip-ahead, skipping ahead a power of 2
g05ncc 9 nag_rand_permute
Pseudorandom permutation of an integer vector
g05ndc 9 nag_rand_sample
Pseudorandom sample from an integer vector
g05nec 23 nag_rand_sample_unequal
Pseudorandom sample, without replacement, unequal weights
g05pdc 9 nag_rand_agarchI
Generates a realization of a time series from a GARCH process with asymmetry of the form (εt-1+γ)2
g05pec 9 nag_rand_agarchII
Generates a realization of a time series from a GARCH process with asymmetry of the form ( |εt-1 |+γεt-1)2
g05pfc 9 nag_rand_garchGJR
Generates a realization of a time series from an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process
g05pgc 9 nag_rand_egarch
Generates a realization of a time series from an exponential GARCH (EGARCH) process
g05phc 9 nag_rand_arma
Generates a realization of a time series from an ARMA model
g05pjc 9 nag_rand_varma
Generates a realization of a multivariate time series from a VARMA model
g05pmc 9 nag_rand_exp_smooth
Generates a realization of a time series from an exponential smoothing model
g05pvc 25 nag_rand_kfold_xyw
Permutes a matrix, vector, vector triplet into a form suitable for K-fold cross validation
g05pwc 25 nag_rand_subsamp_xyw
Permutes a matrix, vector, vector triplet into a form suitable for random sub-sampling validation
g05pxc 9 nag_rand_orthog_matrix
Generates a random orthogonal matrix
g05pyc 9 nag_rand_corr_matrix
Generates a random correlation matrix
g05pzc 9 nag_rand_2_way_table
Generates a random two-way table
g05rcc 9 nag_rand_copula_students_t
Generates a matrix of pseudorandom numbers from a Student's t-copula
g05rdc 9 nag_rand_copula_normal
Generates a matrix of pseudorandom numbers from a Gaussian copula
g05rec 9 nag_rand_bivariate_copula_clayton
Generates a matrix of pseudorandom numbers from a bivariate Clayton/Cook-Johnson copula
g05rfc 9 nag_rand_bivariate_copula_frank
Generates a matrix of pseudorandom numbers from a bivariate Frank copula
g05rgc 9 nag_rand_bivariate_copula_plackett
Generates a matrix of pseudorandom numbers from a bivariate Plackett copula
g05rhc 9 nag_rand_copula_clayton
Generates a matrix of pseudorandom numbers from a multivariate Clayton/Cook-Johnson copula
g05rjc 9 nag_rand_copula_frank
Generates a matrix of pseudorandom numbers from a multivariate Frank copula
g05rkc 9 nag_rand_copula_gumbel
Generates a matrix of pseudorandom numbers from a Gumbel-Hougaard copula
g05ryc 9 nag_rand_matrix_multi_students_t
Generates a matrix of pseudorandom numbers from a multivariate Student's t-distribution
g05rzc 9 nag_rand_matrix_multi_normal
Generates a matrix of pseudorandom numbers from a multivariate Normal distribution
g05sac 9 nag_rand_basic
Generates a vector of pseudorandom numbers from a uniform distribution over (0,1]
g05sbc 9 nag_rand_beta
Generates a vector of pseudorandom numbers from a beta distribution
g05scc 9 nag_rand_cauchy
Generates a vector of pseudorandom numbers from a Cauchy distribution
g05sdc 9 nag_rand_chi_sq
Generates a vector of pseudorandom numbers from a χ2 distribution
g05sec 9 nag_rand_dirichlet
Generates a vector of pseudorandom numbers from a Dirichlet distribution
g05sfc 9 nag_rand_exp
Generates a vector of pseudorandom numbers from an exponential distribution
g05sgc 9 nag_rand_exp_mix
Generates a vector of pseudorandom numbers from an exponential mix distribution
g05shc 9 nag_rand_f
Generates a vector of pseudorandom numbers from an F-distribution
g05sjc 9 nag_rand_gamma
Generates a vector of pseudorandom numbers from a gamma distribution
g05skc 9 nag_rand_normal
Generates a vector of pseudorandom numbers from a Normal distribution
g05slc 9 nag_rand_logistic
Generates a vector of pseudorandom numbers from a logistic distribution
g05smc 9 nag_rand_lognormal
Generates a vector of pseudorandom numbers from a log-normal distribution
g05snc 9 nag_rand_students_t
Generates a vector of pseudorandom numbers from a Student's t-distribution
g05spc 9 nag_rand_triangular
Generates a vector of pseudorandom numbers from a triangular distribution
g05sqc 9 nag_rand_uniform
Generates a vector of pseudorandom numbers from a uniform distribution over[a,b]
g05src 9 nag_rand_von_mises
Generates a vector of pseudorandom numbers from a von Mises distribution
g05ssc 9 nag_rand_weibull
Generates a vector of pseudorandom numbers from a Weibull distribution
g05tac 9 nag_rand_binomial
Generates a vector of pseudorandom integers from a binomial distribution
g05tbc 9 nag_rand_logical
Generates a vector of pseudorandom logical values
g05tcc 9 nag_rand_geom
Generates a vector of pseudorandom integers from a geometric distribution
g05tdc 9 nag_rand_gen_discrete
Generates a vector of pseudorandom integers from a general discrete distribution
g05tec 9 nag_rand_hypergeometric
Generates a vector of pseudorandom integers from a hypergeometric distribution
g05tfc 9 nag_rand_logarithmic
Generates a vector of pseudorandom integers from a logarithmic distribution
g05tgc 9 nag_rand_gen_multinomial
Generates a vector of pseudorandom integers from a multinomial distribution
g05thc 9 nag_rand_neg_bin
Generates a vector of pseudorandom integers from a negative binomial distribution
g05tjc 9 nag_rand_poisson
Generates a vector of pseudorandom integers from a Poisson distribution
g05tkc 9 nag_rand_compd_poisson
Generates a vector of pseudorandom integers from a Poisson distribution with varying mean
g05tlc 9 nag_rand_discrete_uniform
Generates a vector of pseudorandom integers from a uniform distribution
g05xac 24 nag_rand_bb_init
Initializes the Brownian bridge generator
g05xbc 24 nag_rand_bb
Generate paths for a free or non-free Wiener process using the Brownian bridge algorithm
g05xcc 24 nag_rand_bb_inc_init
Initializes the generator which backs out the increments of sample paths generated by a Brownian bridge algorithm
g05xdc 24 nag_rand_bb_inc
Backs out the increments from sample paths generated by a Brownian bridge algorithm
g05xec 24 nag_rand_bb_make_bridge_order
Creates a Brownian bridge construction order out of a set of input times
g05yjc 9 nag_quasi_rand_normal
Generates a Normal quasi-random number sequence
g05ykc 9 nag_quasi_rand_lognormal
Generates a log-normal quasi-random number sequence
g05ylc 9 nag_quasi_init
Initializes a quasi-random number generator
g05ymc 9 nag_quasi_rand_uniform
Generates a uniform quasi-random number sequence
g05ync 9 nag_quasi_init_scrambled
Initializes a scrambled quasi-random number generator
g05zmc 24 nag_rand_field_1d_user_setup
Setup for simulating one-dimensional random fields, user-defined variogram
g05znc 24 nag_rand_field_1d_predef_setup
Setup for simulating one-dimensional random fields
g05zpc 24 nag_rand_field_1d_generate
Generates realizations of a one-dimensional random field
g05zqc 24 nag_rand_field_2d_user_setup
Setup for simulating two-dimensional random fields, user-defined variogram
g05zrc 24 nag_rand_field_2d_predef_setup
Setup for simulating two-dimensional random fields, preset variogram
g05zsc 24 nag_rand_field_2d_generate
Generates realizations of a two-dimensional random field
g05ztc 24 nag_rand_field_fracbm_generate
Generates realizations of fractional Brownian motion