NAG FL Interface
G05 (Rand)
Random Number Generators

G05 (Rand) Chapter Introduction – A description of the Chapter and an overview of the algorithms available.

Routine
Mark of
Introduction

Purpose
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22 nagf_rand_init_repeat
Initializes a pseudorandom number generator to give a repeatable sequence
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22 nagf_rand_init_nonrepeat
Initializes a pseudorandom number generator to give a non-repeatable sequence
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22 nagf_rand_init_leapfrog
Primes a pseudorandom number generator for generating multiple streams using leap-frog
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22 nagf_rand_init_skipahead
Primes a pseudorandom number generator for generating multiple streams using skip-ahead
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23 nagf_rand_init_skipahead_power2
Primes a pseudorandom number generator for generating multiple streams using skip-ahead, skipping ahead a power of 2
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22 nagf_rand_permute
Pseudorandom permutation of an integer vector
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22 nagf_rand_sample
Pseudorandom sample from an integer vector
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23 nagf_rand_sample_wgt
Pseudorandom sample, without replacement, unequal weights
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22 nagf_rand_times_garch_asym1
Generates a realization of a time series from a GARCH process with asymmetry of the form εt-1+γ2
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22 nagf_rand_times_garch_asym2
Generates a realization of a time series from a GARCH process with asymmetry of the form εt-1+γεt-12
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22 nagf_rand_times_garch_gjr
Generates a realization of a time series from an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process
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22 nagf_rand_times_garch_exp
Generates a realization of a time series from an exponential GARCH (EGARCH) process
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22 nagf_rand_times_arma
Generates a realization of a time series from an ARMA model
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22 nagf_rand_times_mv_varma
Generates a realization of a multivariate time series from a VARMA model
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22 nagf_rand_times_smooth_exp
Generates a realization of a time series from an exponential smoothing model
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25 nagf_rand_kfold_xyw
Permutes a matrix, vector, vector triplet into a form suitable for K-fold cross validation
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25 nagf_rand_subsamp_xyw
Permutes a matrix, vector, vector triplet into a form suitable for random sub-sampling validation
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22 nagf_rand_matrix_orthog
Generates a random orthogonal matrix
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22 nagf_rand_matrix_corr
Generates a random correlation matrix
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22 nagf_rand_matrix_2waytable
Generates a random two-way table
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22 nagf_rand_copula_students_t
Generates a matrix of pseudorandom numbers from a Student's t-copula
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22 nagf_rand_copula_normal
Generates a matrix of pseudorandom numbers from a Gaussian copula
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23 nagf_rand_copula_clayton_bivar
Generates a matrix of pseudorandom numbers from a bivariate Clayton/Cook–Johnson copula
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23 nagf_rand_copula_frank_bivar
Generates a matrix of pseudorandom numbers from a bivariate Frank copula
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23 nagf_rand_copula_plackett_bivar
Generates a matrix of pseudorandom numbers from a bivariate Plackett copula
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23 nagf_rand_copula_clayton
Generates a matrix of pseudorandom numbers from a multivariate Clayton/Cook–Johnson copula
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23 nagf_rand_copula_frank
Generates a matrix of pseudorandom numbers from a multivariate Frank copula
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23 nagf_rand_copula_gumbel
Generates a matrix of pseudorandom numbers from a Gumbel–Hougaard copula
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22 nagf_rand_multivar_students_t
Generates a matrix of pseudorandom numbers from a multivariate Student's t-distribution
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22 nagf_rand_multivar_normal
Generates a matrix of pseudorandom numbers from a multivariate Normal distribution
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22 nagf_rand_dist_uniform01
Generates a vector of pseudorandom numbers from a uniform distribution over 0,1
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22 nagf_rand_dist_beta
Generates a vector of pseudorandom numbers from a beta distribution
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22 nagf_rand_dist_cauchy
Generates a vector of pseudorandom numbers from a Cauchy distribution
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22 nagf_rand_dist_chisq
Generates a vector of pseudorandom numbers from a χ2 distribution
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22 nagf_rand_dist_dirichlet
Generates a vector of pseudorandom numbers from a Dirichlet distribution
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22 nagf_rand_dist_exp
Generates a vector of pseudorandom numbers from an exponential distribution
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22 nagf_rand_dist_expmix
Generates a vector of pseudorandom numbers from an exponential mix distribution
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22 nagf_rand_dist_f
Generates a vector of pseudorandom numbers from an F-distribution
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22 nagf_rand_dist_gamma
Generates a vector of pseudorandom numbers from a gamma distribution
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22 nagf_rand_dist_normal
Generates a vector of pseudorandom numbers from a Normal distribution
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22 nagf_rand_dist_logistic
Generates a vector of pseudorandom numbers from a logistic distribution
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22 nagf_rand_dist_lognormal
Generates a vector of pseudorandom numbers from a log-normal distribution
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22 nagf_rand_dist_students_t
Generates a vector of pseudorandom numbers from a Student's t-distribution
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22 nagf_rand_dist_triangular
Generates a vector of pseudorandom numbers from a triangular distribution
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22 nagf_rand_dist_uniform
Generates a vector of pseudorandom numbers from a uniform distribution over a,b
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22 nagf_rand_dist_vonmises
Generates a vector of pseudorandom numbers from a von Mises distribution
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22 nagf_rand_dist_weibull
Generates a vector of pseudorandom numbers from a Weibull distribution
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22 nagf_rand_int_binomial
Generates a vector of pseudorandom integers from a binomial distribution
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22 nagf_rand_logical
Generates a vector of pseudorandom logical values
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22 nagf_rand_int_geom
Generates a vector of pseudorandom integers from a geometric distribution
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22 nagf_rand_int_general
Generates a vector of pseudorandom integers from a general discrete distribution
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22 nagf_rand_int_hypergeom
Generates a vector of pseudorandom integers from a hypergeometric distribution
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22 nagf_rand_int_log
Generates a vector of pseudorandom integers from a logarithmic distribution
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22 nagf_rand_int_multinomial
Generates a vector of pseudorandom integers from a multinomial distribution
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22 nagf_rand_int_negbin
Generates a vector of pseudorandom integers from a negative binomial distribution
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22 nagf_rand_int_poisson
Generates a vector of pseudorandom integers from a Poisson distribution
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22 nagf_rand_int_poisson_varmean
Generates a vector of pseudorandom integers from a Poisson distribution with varying mean
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22 nagf_rand_int_uniform
Generates a vector of pseudorandom integers from a uniform distribution
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24 nagf_rand_bb_init
Initializes the Brownian bridge generator
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24 nagf_rand_bb
Generate paths for a free or non-free Wiener process using the Brownian bridge algorithm
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24 nagf_rand_bb_inc_init
Initializes the generator which backs out the increments of sample paths generated by a Brownian bridge algorithm
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24 nagf_rand_bb_inc
Backs out the increments from sample paths generated by a Brownian bridge algorithm
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24 nagf_rand_bb_make_bridge_order
Creates a Brownian bridge construction order out of a set of input times
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21 nagf_rand_quasi_normal
Generates a Normal quasi-random number sequence
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21 nagf_rand_quasi_lognormal
Generates a log-normal quasi-random number sequence
g05ylf 22 nagf_rand_quasi_init
Initializes a quasi-random number generator
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22 nagf_rand_quasi_uniform
Generates a uniform quasi-random number sequence
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22 nagf_rand_quasi_init_scrambled
Initializes a scrambled quasi-random number generator
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24 nagf_rand_field_1d_user_setup
Setup for simulating one-dimensional random fields, user-defined variogram
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24 nagf_rand_field_1d_predef_setup
Setup for simulating one-dimensional random fields
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24 nagf_rand_field_1d_generate
Generates realizations of a one-dimensional random field
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24 nagf_rand_field_2d_user_setup
Setup for simulating two-dimensional random fields, user-defined variogram
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24 nagf_rand_field_2d_predef_setup
Setup for simulating two-dimensional random fields, preset variogram
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24 nagf_rand_field_2d_generate
Generates realizations of a two-dimensional random field
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24 nagf_rand_field_fracbm_generate
Generates realizations of fractional Brownian motion