Chapter Introduction (pdf version)
NAG Library Manual

G05 – Random Number Generators

G05 Chapter Introduction
Routine
Name
Mark of
Introduction

Purpose
G05CAF
Example Text
6 Pseudo-random real numbers, uniform distribution over (0,1)
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05CBF
Example Text
6 Initialize random number generating functions to give repeatable sequence
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05CCF
Example Text
6 Initialize random number generating routines to give non-repeatable sequence
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05CFF
Example Text
6 Save state of random number generating routines
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05CGF
Example Text
6 Restore state of random number generating routines
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05DAF
Example Text
6 Pseudo-random real numbers, uniform distribution over (a,b) 
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05DBF
Example Text
6 Pseudo-random real numbers, (negative) exponential distribution
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05DCF
Example Text
6 Pseudo-random real numbers, logistic distribution
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05DDF
Example Text
6 Pseudo-random real numbers, Normal distribution
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05DEF
Example Text
6 Pseudo-random real numbers, log-normal distribution
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05DFF
Example Text
6 Pseudo-random real numbers, Cauchy distribution
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05DHF
Example Text
6 Pseudo-random real numbers, χ2 distribution
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05DJF
Example Text
6 Pseudo-random real numbers, Student's t-distribution
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05DKF
Example Text
6 Pseudo-random real numbers, F-distribution
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05DPF
Example Text
8 Pseudo-random real numbers, Weibull distribution
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05DRF
Example Text
Example Data
15 Pseudo-random integer, Poisson distribution
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05DYF
Example Text
6 Pseudo-random integer from uniform distribution
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05DZF
Example Text
6 Pseudo-random logical (boolean) value
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05EAF
Example Text
10 Set up reference vector for multivariate Normal distribution
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05EBF
Example Text
6 Set up reference vector for generating pseudo-random integers, uniform distribution
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05ECF
Example Text
6 Set up reference vector for generating pseudo-random integers, Poisson distribution
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05EDF
Example Text
6 Set up reference vector for generating pseudo-random integers, binomial distribution
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05EEF
Example Text
6 Set up reference vector for generating pseudo-random integers, negative binomial distribution
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05EFF
Example Text
6 Set up reference vector for generating pseudo-random integers, hypergeometric distribution
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05EGF
Example Text
8 Set up reference vector for univariate ARMA time series model
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05EHF
Example Text
10 Pseudo-random permutation of an integer vector
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05EJF
Example Text
10 Pseudo-random sample from an integer vector
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05EWF
Example Text
8 Generate next term from reference vector for ARMA time series model
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05EXF
Example Text
6 Set up reference vector from supplied cumulative distribution function or probability distribution function
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05EYF
Example Text
6 Pseudo-random integer from reference vector
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05EZF
Example Text
10 Pseudo-random multivariate Normal vector from reference vector
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05FAF
Example Text
14 Generates a vector of random numbers from a uniform distribution
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05FBF
Example Text
14 Generates a vector of random numbers from an (negative) exponential distribution
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05FDF
Example Text
14 Generates a vector of random numbers from a Normal distribution
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05FEF
Example Text
15 Generates a vector of pseudo-random numbers from a beta distribution
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05FFF
Example Text
15 Generates a vector of pseudo-random numbers from a gamma distribution
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05FSF
Example Text
16 Generates a vector of pseudo-random variates from von Mises distribution
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05GAF
Example Text
16 Computes a random orthogonal matrix
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05GBF
Example Text
Example Data
16 Computes a random correlation matrix
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05HDF
Example Text
Example Data
15 Generates a realisation of a multivariate time series from a VARMA model
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05HKF 20 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
G05HLF 20 Univariate time series, generate n terms of a GARCH process with asymmetry of the form (|εt-1|+γεt-1)2
G05HMF 20 Univariate time series, generate n terms of an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process
G05HNF 20 Univariate time series, generate n terms of an exponential GARCH (EGARCH) process
G05KAF
Example Text
20 Pseudo-random real numbers, uniform distribution over (0,1), seeds and generator number passed explicitly
G05KBF
Example Text
20 Initialize seeds of a given generator for random number generating routines (that pass seeds explicitly) to give a repeatable sequence
G05KCF
Example Text
20 Initialize seeds of a given generator for random number generating routines (that pass seeds expicitly) to give non-repeatable sequence
G05KEF
Example Text
20 Pseudo-random logical (boolean) value, seeds and generator number passed explicitly
G05LAF
Example Text
20 Generates a vector of random numbers from a Normal distribution, seeds and generator number passed explicitly
G05LBF
Example Text
20 Generates a vector of random numbers from a Student's t-distribution, seeds and generator number passed explicitly
G05LCF
Example Text
20 Generates a vector of random numbers from a χ2 distribution, seeds and generator number passed explicitly
G05LDF
Example Text
20 Generates a vector of random numbers from an F-distribution, seeds and generator number passed explicitly
G05LEF
Example Text
20 Generates a vector of random numbers from a β distribution, seeds and generator number passed explicitly
G05LFF
Example Text
20 Generates a vector of random numbers from a γ distribution, seeds and generator number passed explicitly
G05LGF
Example Text
20 Generates a vector of random numbers from a uniform distribution, seeds and generator number passed explicitly
G05LHF
Example Text
20 Generates a vector of random numbers from a triangular distribution, seeds and generator number passed explicitly
G05LJF
Example Text
20 Generates a vector of random numbers from an exponential distribution, seeds and generator number passed explicitly
G05LKF
Example Text
20 Generates a vector of random numbers from a lognormal distribution, seeds and generator number passed explicitly
G05LLF
Example Text
20 Generates a vector of random numbers from a Cauchy distribution, seeds and generator number passed explicitly
G05LMF
Example Text
20 Generates a vector of random numbers from a Weibull distribution, seeds and generator number passed explicitly
G05LNF
Example Text
20 Generates a vector of random numbers from a logistic distribution, seeds and generator number passed explicitly
G05LPF
Example Text
20 Generates a vector of random numbers from a von Mises distribution, seeds and generator number passed explicitly
G05LQF
Example Text
20 Generates a vector of random numbers from an exponential mixture distribution, seeds and generator number passed explicitly
G05LXF
Example Text
21 Generates a matrix of random numbers from a multivariate Student's t-distribution, seeds and generator passed explicitly
G05LYF
Example Text
21 Generates a matrix of random numbers from a multivariate Normal distribution, seeds and generator passed explicitly
G05LZF
Example Text
20 Generates a vector of random numbers from a multivariate Normal distribution, seeds and generator number passed explicitly
G05MAF
Example Text
20 Generates a vector of random integers from a uniform distribution, seeds and generator number passed explicitly
G05MBF
Example Text
20 Generates a vector of random integers from a geometric distribution, seeds and generator number passed explicitly
G05MCF
Example Text
20 Generates a vector of random integers from a negative binomial distribution, seeds and generator number passed explicitly
G05MDF
Example Text
20 Generates a vector of random integers from a logarithmic distribution, seeds and generator number passed explicitly
G05MEF
Example Text
20 Generates a vector of random integers from a Poisson distribution with varying mean, seeds and generator number passed explicitly
G05MJF
Example Text
20 Generates a vector of random integers from a binomial distribution, seeds and generator number passed explicitly
G05MKF
Example Text
20 Generates a vector of random integers from a Poisson distribution, seeds and generator number passed explicitly
G05MLF
Example Text
20 Generates a vector of random integers from a hypergeometric distribution, seeds and generator number passed explicitly
G05MRF
Example Text
20 Generates a vector of random integers from a multinomial distribution, seeds and generator number passed explicitly
G05MZF
Example Text
20 Generates a vector of random integers from a general discrete distribution, seeds and generator number passed explicitly
G05NAF
Example Text
20 Pseudo-random permutation of an integer vector
G05NBF
Example Text
20 Pseudo-random sample from an integer vector
G05PAF
Example Text
20 Generates a realisation of a time series from an ARMA model
G05PCF
Example Text
Example Data
20 Generates a realisation of a multivariate time series from a VARMA model
G05QAF
Example Text
20 Computes a random orthogonal matrix
G05QBF
Example Text
Example Data
20 Computes a random correlation matrix
G05QDF
Example Text
20 Generates a random table matrix
G05RAF
Example Text
21 Generates a matrix of random numbers from a Gaussian Copula, seeds and generator passed explicitly
G05RBF
Example Text
21 Generates a matrix of random numbers from a Student's t-Copula, seeds and generator passed explicitly
G05YAF
Example Text
20 Multi-dimensional quasi-random number generator with a uniform probability distribution
This routine is scheduled for withdrawal at Mark 23, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05YBF
Example Text
20 Multi-dimensional quasi-random number generator with a Gaussian or log-normal probability distribution
This routine is scheduled for withdrawal at Mark 23, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.
G05YCF 21 Initializes the Faure generator (G05YDF/G05YJF/G05YKF)
G05YDF
Example Text
21 Generates a sequence of quasi-random numbers using Faure's method
G05YEF 21 Initializes the Sobol generator (G05YFF/G05YJF/G05YKF)
G05YFF
Example Text
21 Generates a sequence of quasi-random numbers using Sobol's method
G05YGF 21 Initializes the Neiderreiter generator (G05YHF/G05YJF/G05YKF)
G05YHF
Example Text
21 Generates a sequence of quasi-random numbers using Neiderreiter's method
G05YJF
Example Text
21 Generates a Normal quasi-random number sequence using Faure's, Sobol's or Neiderreiter's method
G05YKF
Example Text
21 Generates a log-Normal quasi-random number sequence using Faure's, Sobol's or Neiderreiter's method
G05ZAF
Example Text
20 Selects either the basic generator or the Wichmann–Hill generator for those routines using internal communication
This routine is scheduled for withdrawal at Mark 22, please see the Advice on Replacement Calls for Withdrawn/Superseded Routines for further details.

Chapter Introduction (pdf version)
NAG Library Manual

The Numerical Algorithms Group Ltd, Oxford, UK. 2006