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rpgm (version 1.1.2)

Fast Simulation of Normal/Exponential Random Variables and Stochastic Differential Equations / Poisson Processes

Description

Fast simulation of some random variables than the usual native functions, including rnorm() and rexp(), using Ziggurat method, reference: MARSAGLIA, George, TSANG, Wai Wan, and al. (2000) , and fast simulation of stochastic differential equations / Poisson processes.

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Version

Install

install.packages('rpgm')

Monthly Downloads

71

Version

1.1.2

License

GPL-3

Maintainer

Nicolas Baradel

Last Published

February 25th, 2018

Functions in rpgm (1.1.2)

Fast Simulation of Bernoulli Random Variables

Fast Simulation of Log-Normal Random Variables

Milstein Scheme for Stochastic Differential Equations

Simulation of inhomogeneous Poisson Processes

Fast Simulation of Student Random Variables

Fast Simulation of Normal Random Variables

The Skewness of a Vector of Random Variables

Set Seed for RPGM Mersenne Twister Random Number Generator

Set a Minimum or a Maximum or Both to a Vector.

colMaxs - rowMaxs - colMins - rowMins

The Maximum or Minimum of each Column or each Row of a Matrix.

Get the Maximum Number of Threads available on your device

Fast Simulation of Generalized Pareto Distribution

Fast Simulation of Exponential Random Variables

Fast Simulation of Geometric Random Variables

The Jarque-Bera Test for Normality

Euler Scheme for Stochastic Differential Equations

Fast Simulation of Cantor Random Variables

The Kurtosis of a Vector of Random Variables

Evaluate the Poisson Process paths at date t

Simulation and Density of Vasicek Process

Simulation of homogeneous Poisson Processes

Simulation of Brownian Motions