G05 Chapter Contents : NAG Library Manual, Mark 26

g05 Chapter Introduction – a description of the Chapter and an overview of the algorithms available

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

NAG Library Chapter Contentsg05 – Random Number Generators

NAG Library Chapter Contents

g05 – Random Number Generators