Chapter Introduction (pdf version)
NAG C Library Manual

g05 – Random Number Generators

g05 Chapter Introduction
Routine
Name
Mark of
Introduction

Purpose
g05cac
Example Text
1 nag_random_continuous_uniform
Pseudo-random real numbers, uniform distribution over (0,1)
g05cbc
Example Text
1 nag_random_init_repeatable
Initialize random number generating functions to give repeatable sequence
g05ccc
Example Text
1 nag_random_init_nonrepeatable
Initialize random number generating functions to give non-repeatable sequence
g05cfc
Example Text
1 nag_save_random_state
Save state of random number generating functions
g05cgc
Example Text
1 nag_restore_random_state
Restore state of random number generating functions
g05dac
Example Text
1 nag_random_continuous_uniform_ab
Pseudo-random real numbers, uniform distribution over (a,b)
g05dbc
Example Text
1 nag_random_exp
Pseudo-random real numbers, (negative) exponential distribution
g05ddc
Example Text
1 nag_random_normal
Pseudo-random real numbers, Normal distribution
g05dyc
Example Text
1 nag_random_discrete_uniform
Pseudo-random integer from uniform distribution
g05eac
Example Text
2 nag_ref_vec_multi_normal
Set up reference vector for multivariate Normal distribution
g05ecc
Example Text
2 nag_ref_vec_poisson
Set up reference vector for generating pseudo-random integers, Poisson distribution
g05edc
Example Text
2 nag_ref_vec_binomial
Set up reference vector for generating pseudo-random integers, binomial distribution
g05ehc
Example Text
3 nag_ran_permut_vec
Pseudo-random permutation of an integer vector
g05ejc
Example Text
3 nag_ran_sample_vec
Pseudo-random sample without replacement from an integer vector
g05exc
Example Text
2 nag_ref_vec_discrete_pdf_cdf
Set up reference vector from supplied cumulative distribution function or probability distribution function
g05eyc
Example Text
2 nag_return_discrete
Pseudo-random integer from reference vector
g05ezc
Example Text
2 nag_return_multi_normal
Pseudo-random multivariate Normal vector from reference vector
g05fec
Example Text
2 nag_random_beta
Pseudo-random real numbers from the beta distribution
g05ffc
Example Text
2 nag_random_gamma
Pseudo-random real numbers from the gamma distribution
g05hac
Example Text
3 nag_arma_time_series
ARMA time series of n terms
g05hkc 6 nag_generate_agarchI
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
g05hlc 6 nag_generate_agarchII
Univariate time series, generate n terms of a GARCH process with asymmetry of the form (|εt-1|+γεt-1)2
g05hmc 6 nag_generate_garchGJR
Univariate time series, generate n terms of an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process
g05kac
Example Text
7 nag_rngs_basic
Pseudo-random real numbers, uniform distribution over (0,1), seeds and generator number passed explicitly
g05kbc
Example Text
7 nag_rngs_init_repeatable
Initialize seeds of a given generator for random number generating functions (that pass seeds explicitly) to give a repeatable sequence
g05kcc
Example Text
7 nag_rngs_init_nonrepeatable
Initialize seeds of a given generator for random number generating functions (that pass seeds expicitly) to give non-repeatable sequence
g05kec
Example Text
7 nag_rngs_logical
Pseudo-random logical (boolean) value, seeds and generator number passed explicitly
g05lac
Example Text
7 nag_rngs_normal
Generates a vector of random numbers from a Normal distribution, seeds and generator number passed explicitly
g05lbc
Example Text
7 nag_rngs_students_t
Generates a vector of random numbers from a Student's t-distribution, seeds and generator number passed explicitly
g05lcc
Example Text
7 nag_rngs_chi_sq
Generates a vector of random numbers from a χ2 distribution, seeds and generator number passed explicitly
g05ldc
Example Text
7 nag_rngs_f
Generates a vector of random numbers from an F-distribution, seeds and generator number passed explicitly
g05lec
Example Text
7 nag_rngs_beta
Generates a vector of random numbers from a β distribution, seeds and generator number passed explicitly
g05lfc
Example Text
7 nag_rngs_gamma
Generates a vector of random numbers from a γ distribution, seeds and generator number passed explicitly
g05lgc
Example Text
7 nag_rngs_uniform
Generates a vector of random numbers from a uniform distribution, seeds and generator number passed explicitly
g05lhc
Example Text
7 nag_rngs_triangular
Generates a vector of random numbers from a triangular distribution, seeds and generator number passed explicitly
g05ljc
Example Text
7 nag_rngs_exp
Generates a vector of random numbers from an exponential distribution, seeds and generator number passed explicitly
g05lkc
Example Text
7 nag_rngs_lognormal
Generates a vector of random numbers from a lognormal distribution, seeds and generator number passed explicitly
g05llc
Example Text
7 nag_rngs_cauchy
Generates a vector of random numbers from a Cauchy distribution, seeds and generator number passed explicitly
g05lmc
Example Text
7 nag_rngs_weibull
Generates a vector of random numbers from a Weibull distribution, seeds and generator number passed explicitly
g05lnc
Example Text
7 nag_rngs_logistic
Generates a vector of random numbers from a logistic distribution, seeds and generator number passed explicitly
g05lpc
Example Text
7 nag_rngs_von_mises
Generates a vector of random numbers from a von Mises distribution, seeds and generator number passed explicitly
g05lqc
Example Text
7 nag_rngs_exp_mix
Generates a vector of random numbers from an exponential mixture distribution, seeds and generator number passed explicitly
g05lxc
Example Text
8 nag_rngs_matrix_multi_students_t
Generates a matrix of random numbers from a multivariate Student's t-distribution, seeds and generator passed explicitly
g05lyc
Example Text
8 nag_rgsn_matrix_multi_normal
Generates a matrix of random numbers from a multivariate Normal distribution, seeds and generator passed explicitly
g05lzc
Example Text
7 nag_rngs_multi_normal
Generates a vector of random numbers from a multivariate Normal distribution, seeds and generator number passed explicitly
g05mac
Example Text
7 nag_rngs_discrete_uniform
Generates a vector of random integers from a uniform distribution, seeds and generator number passed explicitly
g05mbc
Example Text
7 nag_rngs_geom
Generates a vector of random integers from a geometric distribution, seeds and generator number passed explicitly
g05mcc
Example Text
7 nag_rngs_neg_bin
Generates a vector of random integers from a negative binomial distribution, seeds and generator number passed explicitly
g05mdc
Example Text
7 nag_rngs_logarithmic
Generates a vector of random integers from a logarithmic distribution, seeds and generator number passed explicitly
g05mec
Example Text
7 nag_rngs_compd_poisson
Generates a vector of random integers from a Poisson distribution with varying mean, seeds and generator number passed explicitly
g05mjc
Example Text
7 nag_rngs_binomial
Generates a vector of random integers from a binomial distribution, seeds and generator number passed explicitly
g05mkc
Example Text
7 nag_rngs_poisson
Generates a vector of random integers from a Poisson distribution, seeds and generator number passed explicitly
g05mlc
Example Text
7 nag_rngs_hypergeometric
Generates a vector of random integers from a hypergeometric distribution, seeds and generator number passed explicitly
g05mrc
Example Text
7 nag_rngs_gen_multinomial
Generates a vector of random integers from a multinomial distribution, seeds and generator number passed explicitly
g05mzc
Example Text
7 nag_rngs_gen_discrete
Generates a vector of random integers from a general discrete distribution, seeds and generator number passed explicitly
g05nac
Example Text
7 nag_rngs_permute
Pseudo-random permutation of an integer vector
g05nbc
Example Text
7 nag_rngs_sample
Pseudo-random sample from an integer vector
g05pac
Example Text
7 nag_rngs_arma_time_series
Generates a realisation of a time series from an ARMA model
g05pcc
Example Text
Example Data
7 nag_rngs_varma_time_series
Generates a realisation of a multivariate time series from a VARMA model
g05qac
Example Text
7 nag_rngs_orthog_matrix
Computes a random orthogonal matrix
g05qbc
Example Text
Example Data
7 nag_rngs_corr_matrix
Computes a random correlation matrix
g05qdc
Example Text
7 nag_rngs_2_way_table
Generates a random table matrix
g05rac
Example Text
8 nag_rngs_copula_normal
Generates a matrix of random numbers from a Gaussian Copula, seeds and generator passed explicitly
g05rbc
Example Text
8 nag_rngs_copula_students_t
Generates a matrix of random numbers from a Student's t-Copula, seeds and generator passed explicitly
g05yac
Example Text
7 nag_quasi_random_uniform
Multi-dimensional quasi-random number generator with a uniform probability distribution
g05ybc
Example Text
7 nag_quasi_random_normal
Multi-dimensional quasi-random number generator with a Gaussian or log-normal probability distribution

Chapter Introduction (pdf version)
NAG C Library Manual

The Numerical Algorithms Group Ltd, Oxford, UK. 2005