G05 Chapter Contents (PDF version)
G05 Chapter Introduction
NAG Library Manual

NAG Library Chapter Contents

G05 – Random Number Generators

G05 Chapter Introduction

Routine
Name
Mark of
Introduction

Purpose
G05HKF
Example Text
20 nagf_rand_withdraw_times_garch_asym1
Univariate time series, generate n terms of either a symmetric GARCH process or a GARCH process with asymmetry of the form (εt - 1 + γ)2
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05HLF
Example Text
20 nagf_rand_withdraw_times_garch_asym2
Univariate time series, generate n terms of a GARCH process with asymmetry of the form (|εt - 1| + γεt - 1)2
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05HMF
Example Text
20 nagf_rand_withdraw_times_garch_GJR
Univariate time series, generate n terms of an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05HNF
Example Text
20 nagf_rand_withdraw_times_garch_exp
Univariate time series, generate n terms of an exponential GARCH (EGARCH) process
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05KAF
Example Text
20 nagf_rand_withdraw_dist_uniform01
Pseudorandom real numbers, uniform distribution over (0,1), seeds and generator number passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05KBF
Example Text
20 nagf_rand_withdraw_init_repeat
Initialize seeds of a given generator for random number generating routines (that pass seeds explicitly) to give a repeatable sequence
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05KCF
Example Text
20 nagf_rand_withdraw_init_nonrepeat
Initialize seeds of a given generator for random number generating routines (that pass seeds expicitly) to give non-repeatable sequence
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05KEF
Example Text
20 nagf_rand_withdraw_logical
Pseudorandom logical (boolean) value, seeds and generator number passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05KFF
Example Text
Example Data
22 nagf_rand_init_repeat
Initializes a pseudorandom number generator to give a repeatable sequence
G05KGF
Example Text
Example Data
22 nagf_rand_init_nonrepeat
Initializes a pseudorandom number generator to give a non-repeatable sequence
G05KHF
Example Text
Example Data
22 nagf_rand_init_leapfrog
Primes a pseudorandom number generator for generating multiple streams using leap-frog
G05KJF
Example Text
Example Data
22 nagf_rand_init_skipahead
Primes a pseudorandom number generator for generating multiple streams using skip-ahead
G05KKF
Example Text
Example Data
23 nagf_rand_init_skipahead_power2
Primes a pseudorandom number generator for generating multiple streams using skip-ahead, skipping ahead a power of 2
G05LAF
Example Text
20 nagf_rand_withdraw_dist_normal
Generates a vector of random numbers from a Normal distribution, seeds and generator number passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05LBF
Example Text
20 nagf_rand_withdraw_dist_students_t
Generates a vector of random numbers from a Student's t-distribution, seeds and generator number passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05LCF
Example Text
20 nagf_rand_withdraw_dist_chisq
Generates a vector of random numbers from a χ2 distribution, seeds and generator number passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05LDF
Example Text
20 nagf_rand_withdraw_dist_f
Generates a vector of random numbers from an F-distribution, seeds and generator number passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05LEF
Example Text
20 nagf_rand_withdraw_dist_beta
Generates a vector of random numbers from a β distribution, seeds and generator number passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05LFF
Example Text
20 nagf_rand_withdraw_dist_gamma
Generates a vector of random numbers from a γ distribution, seeds and generator number passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05LGF
Example Text
20 nagf_rand_withdraw_dist_uniform
Generates a vector of random numbers from a uniform distribution, seeds and generator number passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05LHF
Example Text
20 nagf_rand_withdraw_dist_triangular
Generates a vector of random numbers from a triangular distribution, seeds and generator number passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05LJF
Example Text
20 nagf_rand_withdraw_dist_exp
Generates a vector of random numbers from an exponential distribution, seeds and generator number passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05LKF
Example Text
20 nagf_rand_withdraw_dist_lognormal
Generates a vector of random numbers from a log-normal distribution, seeds and generator number passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05LLF
Example Text
20 nagf_rand_withdraw_dist_cauchy
Generates a vector of random numbers from a Cauchy distribution, seeds and generator number passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05LMF
Example Text
20 nagf_rand_withdraw_dist_weibull
Generates a vector of random numbers from a Weibull distribution, seeds and generator number passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05LNF
Example Text
20 nagf_rand_withdraw_dist_logistic
Generates a vector of random numbers from a logistic distribution, seeds and generator number passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05LPF
Example Text
20 nagf_rand_withdraw_dist_vonmises
Generates a vector of random numbers from a von Mises distribution, seeds and generator number passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05LQF
Example Text
20 nagf_rand_withdraw_dist_expmix
Generates a vector of random numbers from an exponential mixture distribution, seeds and generator number passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05LXF
Example Text
21 nagf_rand_withdraw_multivar_students_t
Generates a matrix of random numbers from a multivariate Student's t-distribution, seeds and generator passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05LYF
Example Text
21 nagf_rand_withdraw_multivar_normal
Generates a matrix of random numbers from a multivariate Normal distribution, seeds and generator passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05LZF
Example Text
20 nagf_rand_withdraw_multivar_normal_svec
Generates a vector of random numbers from a multivariate Normal distribution, seeds and generator number passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05MAF
Example Text
20
Generates a vector of random integers from a uniform distribution, seeds and generator number passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05MBF
Example Text
20 nagf_rand_withdraw_int_geom
Generates a vector of random integers from a geometric distribution, seeds and generator number passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05MCF
Example Text
20 nagf_rand_withdraw_int_negbin
Generates a vector of random integers from a negative binomial distribution, seeds and generator number passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05MDF
Example Text
20 nagf_rand_withdraw_int_log
Generates a vector of random integers from a logarithmic distribution, seeds and generator number passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05MEF
Example Text
20 nagf_rand_withdraw_int_poisson_varmean
Generates a vector of random integers from a Poisson distribution with varying mean, seeds and generator number passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05MJF
Example Text
20 nagf_rand_withdraw_int_binomial
Generates a vector of random integers from a binomial distribution, seeds and generator number passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05MKF
Example Text
20 nagf_rand_withdraw_int_poisson
Generates a vector of random integers from a Poisson distribution, seeds and generator number passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05MLF
Example Text
20 nagf_rand_withdraw_int_hypergeom
Generates a vector of random integers from a hypergeometric distribution, seeds and generator number passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05MRF
Example Text
20 nagf_rand_withdraw_int_multinomial
Generates a vector of random integers from a multinomial distribution, seeds and generator number passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05MZF
Example Text
20 nagf_rand_withdraw_int_general
Generates a vector of random integers from a general discrete distribution, seeds and generator number passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05NAF
Example Text
20 nagf_rand_withdraw_permute
Pseudorandom permutation of an integer vector
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05NBF
Example Text
20 nagf_rand_withdraw_sample
Pseudorandom sample from an integer vector
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05NCF
Example Text
Example Data
22 nagf_rand_permute
Pseudorandom permutation of an integer vector
G05NDF
Example Text
Example Data
22 nagf_rand_sample
Pseudorandom sample from an integer vector
G05NEF
Example Text
Example Data
23 nagf_rand_sample_wgt
Pseudorandom sample, without replacement, unequal weights
G05PAF
Example Text
20 nagf_rand_withdraw_times_arma
Generates a realization of a time series from an ARMA model
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05PCF
Example Text
Example Data
20 nagf_rand_withdraw_times_mv_varma
Generates a realization of a multivariate time series from a VARMA model
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05PDF
Example Text
Example Data
22 nagf_rand_times_garch_asym1
Generates a realization of a time series from a GARCH process with asymmetry of the form (εt - 1 + γ)2
G05PEF
Example Text
Example Data
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 - 1)2
G05PFF
Example Text
Example Data
22 nagf_rand_times_garch_GJR
Generates a realization of a time series from an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process
G05PGF
Example Text
Example Data
22 nagf_rand_times_garch_exp
Generates a realization of a time series from an exponential GARCH (EGARCH) process
G05PHF
Example Text
Example Data
22 nagf_rand_times_arma
Generates a realization of a time series from an ARMA model
G05PJF
Example Text
Example Data
22 nagf_rand_times_mv_varma
Generates a realization of a multivariate time series from a VARMA model
G05PMF
Example Text
Example Data
22 nagf_rand_times_smooth_exp
Generates a realization of a time series from an exponential smoothing model
G05PXF
Example Text
Example Data
22 nagf_rand_matrix_orthog
Generates a random orthogonal matrix
G05PYF
Example Text
Example Data
22 nagf_rand_matrix_corr
Generates a random correlation matrix
G05PZF
Example Text
Example Data
22 nagf_rand_matrix_2waytable
Generates a random two-way table
G05QAF
Example Text
20 nagf_rand_withdraw_matrix_orthog
Computes a random orthogonal matrix
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05QBF
Example Text
Example Data
20 nagf_rand_withdraw_matrix_corr
Computes a random correlation matrix
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05QDF
Example Text
20 nagf_rand_withdraw_matrix_2waytable
Generates a random table matrix
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05RAF
Example Text
21 nagf_rand_withdraw_copula_normal
Generates a matrix of random numbers from a Gaussian copula, seeds and generator passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05RBF
Example Text
21 nagf_rand_withdraw_copula_students_t
Generates a matrix of random numbers from a Student's t-copula, seeds and generator passed explicitly
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05RCF
Example Text
Example Data
22 nagf_rand_copula_students_t
Generates a matrix of pseudorandom numbers from a Student's t-copula
G05RDF
Example Text
Example Data
22 nagf_rand_copula_normal
Generates a matrix of pseudorandom numbers from a Gaussian copula
G05REF
Example Text
Example Data
23 nagf_rand_copula_clayton_bivar
Generates a matrix of pseudorandom numbers from a bivariate Clayton/Cook–Johnson copula
G05RFF
Example Text
Example Data
23 nagf_rand_copula_frank_bivar
Generates a matrix of pseudorandom numbers from a bivariate Frank copula
G05RGF
Example Text
Example Data
23 nagf_rand_copula_plackett_bivar
Generates a matrix of pseudorandom numbers from a bivariate Plackett copula
G05RHF
Example Text
Example Data
23 nagf_rand_copula_clayton
Generates a matrix of pseudorandom numbers from a multivariate Clayton/Cook–Johnson copula
G05RJF
Example Text
Example Data
23 nagf_rand_copula_frank
Generates a matrix of pseudorandom numbers from a multivariate Frank copula
G05RKF
Example Text
Example Data
23 nagf_rand_copula_gumbel
Generates a matrix of pseudorandom numbers from a Gumbel–Hougaard copula
G05RYF
Example Text
Example Data
22 nagf_rand_multivar_students_t
Generates a matrix of pseudorandom numbers from a multivariate Student's t-distribution
G05RZF
Example Text
Example Data
22 nagf_rand_multivar_normal
Generates a matrix of pseudorandom numbers from a multivariate Normal distribution
G05SAF
Example Text
Example Data
22 nagf_rand_dist_uniform01
Generates a vector of pseudorandom numbers from a uniform distribution over (0,1]
G05SBF
Example Text
Example Data
22 nagf_rand_dist_beta
Generates a vector of pseudorandom numbers from a beta distribution
G05SCF
Example Text
Example Data
22 nagf_rand_dist_cauchy
Generates a vector of pseudorandom numbers from a Cauchy distribution
G05SDF
Example Text
Example Data
22 nagf_rand_dist_chisq
Generates a vector of pseudorandom numbers from a χ2 distribution
G05SEF
Example Text
Example Data
22 nagf_rand_dist_dirichlet
Generates a vector of pseudorandom numbers from a Dirichlet distribution
G05SFF
Example Text
Example Data
22 nagf_rand_dist_exp
Generates a vector of pseudorandom numbers from an exponential distribution
G05SGF
Example Text
Example Data
22 nagf_rand_dist_expmix
Generates a vector of pseudorandom numbers from an exponential mix distribution
G05SHF
Example Text
Example Data
22 nagf_rand_dist_f
Generates a vector of pseudorandom numbers from an F-distribution
G05SJF
Example Text
Example Data
22 nagf_rand_dist_gamma
Generates a vector of pseudorandom numbers from a gamma distribution
G05SKF
Example Text
Example Data
22 nagf_rand_dist_normal
Generates a vector of pseudorandom numbers from a Normal distribution
G05SLF
Example Text
Example Data
22 nagf_rand_dist_logistic
Generates a vector of pseudorandom numbers from a logistic distribution
G05SMF
Example Text
Example Data
22 nagf_rand_dist_lognormal
Generates a vector of pseudorandom numbers from a log-normal distribution
G05SNF
Example Text
Example Data
22 nagf_rand_dist_students_t
Generates a vector of pseudorandom numbers from a Student's t-distribution
G05SPF
Example Text
Example Data
22 nagf_rand_dist_triangular
Generates a vector of pseudorandom numbers from a triangular distribution
G05SQF
Example Text
Example Data
22 nagf_rand_dist_uniform
Generates a vector of pseudorandom numbers from a uniform distribution over [a,b]
G05SRF
Example Text
Example Data
22 nagf_rand_dist_vonmises
Generates a vector of pseudorandom numbers from a von Mises distribution
G05SSF
Example Text
Example Data
22 nagf_rand_dist_weibull
Generates a vector of pseudorandom numbers from a Weibull distribution
G05TAF
Example Text
Example Data
22 nagf_rand_int_binomial
Generates a vector of pseudorandom integers from a binomial distribution
G05TBF
Example Text
Example Data
22 nagf_rand_logical
Generates a vector of pseudorandom logical values
G05TCF
Example Text
Example Data
22 nagf_rand_int_geom
Generates a vector of pseudorandom integers from a geometric distribution
G05TDF
Example Text
Example Data
22 nagf_rand_int_general
Generates a vector of pseudorandom integers from a general discrete distribution
G05TEF
Example Text
Example Data
22 nagf_rand_int_hypergeom
Generates a vector of pseudorandom integers from a hypergeometric distribution
G05TFF
Example Text
Example Data
22 nagf_rand_int_log
Generates a vector of pseudorandom integers from a logarithmic distribution
G05TGF
Example Text
Example Data
22 nagf_rand_int_multinomial
Generates a vector of pseudorandom integers from a multinomial distribution
G05THF
Example Text
Example Data
22 nagf_rand_int_negbin
Generates a vector of pseudorandom integers from a negative binomial distribution
G05TJF
Example Text
Example Data
22 nagf_rand_int_poisson
Generates a vector of pseudorandom integers from a Poisson distribution
G05TKF
Example Text
Example Data
22 nagf_rand_int_poisson_varmean
Generates a vector of pseudorandom integers from a Poisson distribution with varying mean
G05TLF
Example Text
Example Data
22 nagf_rand_int_uniform
Generates a vector of pseudorandom integers from a uniform distribution
G05YCF 21 nagf_rand_withdraw_quasi_faure_init
Initializes the Faure generator (G05YDF/G05YJF/G05YKF)
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05YDF
Example Text
Example Data
21 nagf_rand_withdraw_quasi_faure_uniform
Generates a sequence of quasi-random numbers using Faure's method
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05YEF 21 nagf_rand_withdraw_quasi_sobol_init
Initializes the Sobol generator (G05YFF/G05YJF/G05YKF)
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05YFF
Example Text
Example Data
21 nagf_rand_withdraw_quasi_sobol_uniform
Generates a sequence of quasi-random numbers using Sobol's method
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05YGF 21 nagf_rand_withdraw_quasi_nied_init
Initializes the Niederreiter generator (G05YHF/G05YJF/G05YKF)
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05YHF
Example Text
21 nagf_rand_withdraw_quasi_nied_uniform
Generates a sequence of quasi-random numbers using Niederreiter's method
Note: this routine is scheduled for withdrawal at Mark 24, see Advice on Replacement Calls for Withdrawn/Superseded Routines for further information.
G05YJF
Example Text
Example Data
21 nagf_rand_quasi_normal
Generates a Normal quasi-random number sequence
G05YKF
Example Text
Example Data
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
G05YMF
Example Text
Example Data
22 nagf_rand_quasi_uniform
Generates a uniform quasi-random number sequence
G05YNF
Example Text
Example Data
22 nagf_rand_quasi_init_scambled
Initializes a scrambled quasi-random number generator

G05 Chapter Contents (PDF version)
G05 Chapter Introduction
NAG Library Manual

© The Numerical Algorithms Group Ltd, Oxford, UK. 2011