NAG Library Function Document

nag_random_exp (g05dbc)

+− Contents

1 Purpose

2 Specification

3 Description

4 References

5 Arguments

6 Error Indicators and Warnings

7 Accuracy

8 Further Comments

+− 9 Example

9.1 Program Text

9.2 Program Data

9.3 Program Results

1 Purpose

nag_random_exp (g05dbc) returns a pseudorandom real number taken from a (negative) exponential distribution with mean

a

2 Specification

#include <nag.h>

#include <nagg05.h>

double

nag_random_exp (double a)

3 Description

The distribution has PDF (probability density function)

\begin{array}{l} f (x) = \frac{1}{a} e^{- x / a} & if x > 0 \\ f (x) = 0 ​ otherwise. \end{array}

The function returns the value

- a \ln y

, where

y

is a pseudorandom number from a uniform distribution over (0,1), generated by nag_random_continuous_uniform (g05cac).

4 References

Kendall M G and Stuart A (1969) The Advanced Theory of Statistics (Volume 1) (3rd Edition) Griffin

Knuth D E (1981) The Art of Computer Programming (Volume 2) (2nd Edition) Addison–Wesley

5 Arguments

1: a – doubleInput: On entry: the argument $a$ of the distribution. If a is negative, its absolute value is used.

6 Error Indicators and Warnings

None.

7 Accuracy

Not applicable.

8 Further Comments

None.

9 Example

The example program prints the first five pseudorandom real numbers from a negative exponential distribution with mean 2.0, generated by nag_random_exp (g05dbc) after initialization by nag_random_init_repeatable (g05cbc).

9.1 Program Text

Program Text (g05dbce.c)

9.2 Program Data

None.

9.3 Program Results

Program Results (g05dbce.r)

nag_random_exp (g05dbc) (PDF version)

g05 Chapter Contents

g05 Chapter Introduction

NAG C Library Manual

NAG Library Function Documentnag_random_exp (g05dbc)

+− Contents

1 Purpose

2 Specification

3 Description

4 References

5 Arguments

6 Error Indicators and Warnings

7 Accuracy

8 Further Comments

9 Example

9.1 Program Text

9.2 Program Data

9.3 Program Results

NAG Library Function Document

nag_random_exp (g05dbc)