NAG Toolbox

G05 – random number generators

• G05 Introduction
• g05kf – Initializes a pseudorandom number generator to give a repeatable sequence
• nag_rand_init_repeat
• g05kg – Initializes a pseudorandom number generator to give a non-repeatable sequence
• nag_rand_init_nonrepeat
• g05kh – Primes a pseudorandom number generator for generating multiple streams using leap-frog
• nag_rand_init_leapfrog
• g05kj – Primes a pseudorandom number generator for generating multiple streams using skip-ahead
• nag_rand_init_skipahead
• g05kk – Primes a pseudorandom number generator for generating multiple streams using skip-ahead, skipping ahead a power of 2
• nag_rand_init_skipahead_power2
• g05nc – Pseudorandom permutation of an integer vector
• nag_rand_permute
• g05nd – Pseudorandom sample from an integer vector
• nag_rand_sample
• g05ne – Pseudorandom sample, without replacement, unequal weights
• nag_rand_sample_wgt
• g05pd – Generates a realization of a time series from a GARCH process with asymmetry of the form (ε_t-1+γ)²
• nag_rand_times_garch_asym1
• g05pe – Generates a realization of a time series from a GARCH process with asymmetry of the form (|ε_t-1|+γε_t-1)²
• nag_rand_times_garch_asym2
• g05pf – Generates a realization of a time series from an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process
• nag_rand_times_garch_gjr
• g05pg – Generates a realization of a time series from an exponential GARCH (EGARCH) process
• nag_rand_times_garch_exp
• g05ph – Generates a realization of a time series from an ARMA model
• nag_rand_times_arma
• g05pj – Generates a realization of a multivariate time series from a VARMA model
• nag_rand_times_mv_varma
• g05pm – Generates a realization of a time series from an exponential smoothing model
• nag_rand_times_smooth_exp
• g05pv – Permutes a matrix, vector, vector triplet into a form suitable for K-fold cross validation
• nag_rand_kfold_xyw
• g05pw – Permutes a matrix, vector, vector triplet into a form suitable for random sub-sampling validation
• nag_rand_subsamp_xyw
• g05px – Generates a random orthogonal matrix
• nag_rand_matrix_orthog
• g05py – Generates a random correlation matrix
• nag_rand_matrix_corr
• g05pz – Generates a random two-way table
• nag_rand_matrix_2waytable
• g05rc – Generates a matrix of pseudorandom numbers from a Student's t-copula
• nag_rand_copula_students_t
• g05rd – Generates a matrix of pseudorandom numbers from a Gaussian copula
• nag_rand_copula_normal
• g05re – Generates a matrix of pseudorandom numbers from a bivariate Clayton/Cook–Johnson copula
• nag_rand_copula_clayton_bivar
• g05rf – Generates a matrix of pseudorandom numbers from a bivariate Frank copula
• nag_rand_copula_frank_bivar
• g05rg – Generates a matrix of pseudorandom numbers from a bivariate Plackett copula
• nag_rand_copula_plackett_bivar
• g05rh – Generates a matrix of pseudorandom numbers from a multivariate Clayton/Cook–Johnson copula
• nag_rand_copula_clayton
• g05rj – Generates a matrix of pseudorandom numbers from a multivariate Frank copula
• nag_rand_copula_frank
• g05rk – Generates a matrix of pseudorandom numbers from a Gumbel–Hougaard copula
• nag_rand_copula_gumbel
• g05ry – Generates a matrix of pseudorandom numbers from a multivariate Student's t-distribution
• nag_rand_multivar_students_t
• g05rz – Generates a matrix of pseudorandom numbers from a multivariate Normal distribution
• nag_rand_multivar_normal
• g05sa – Generates a vector of pseudorandom numbers from a uniform distribution over (01)
• nag_rand_dist_uniform01
• g05sb – Generates a vector of pseudorandom numbers from a beta distribution
• nag_rand_dist_beta
• g05sc – Generates a vector of pseudorandom numbers from a Cauchy distribution
• nag_rand_dist_cauchy
• g05sd – Generates a vector of pseudorandom numbers from a χ² distribution
• nag_rand_dist_chisq
• g05se – Generates a vector of pseudorandom numbers from a Dirichlet distribution
• nag_rand_dist_dirichlet
• g05sf – Generates a vector of pseudorandom numbers from an exponential distribution
• nag_rand_dist_exp
• g05sg – Generates a vector of pseudorandom numbers from an exponential mix distribution
• nag_rand_dist_expmix
• g05sh – Generates a vector of pseudorandom numbers from an F-distribution
• nag_rand_dist_f
• g05sj – Generates a vector of pseudorandom numbers from a gamma distribution
• nag_rand_dist_gamma
• g05sk – Generates a vector of pseudorandom numbers from a Normal distribution
• nag_rand_dist_normal
• g05sl – Generates a vector of pseudorandom numbers from a logistic distribution
• nag_rand_dist_logistic
• g05sm – Generates a vector of pseudorandom numbers from a log-normal distribution
• nag_rand_dist_lognormal
• g05sn – Generates a vector of pseudorandom numbers from a Student's t-distribution
• nag_rand_dist_students_t
• g05sp – Generates a vector of pseudorandom numbers from a triangular distribution
• nag_rand_dist_triangular
• g05sq – Generates a vector of pseudorandom numbers from a uniform distribution over (ab)
• nag_rand_dist_uniform
• g05sr – Generates a vector of pseudorandom numbers from a von Mises distribution
• nag_rand_dist_vonmises
• g05ss – Generates a vector of pseudorandom numbers from a Weibull distribution
• nag_rand_dist_weibull
• g05ta – Generates a vector of pseudorandom integers from a binomial distribution
• nag_rand_int_binomial
• g05tb – Generates a vector of pseudorandom logical values
• nag_rand_logical
• g05tc – Generates a vector of pseudorandom integers from a geometric distribution
• nag_rand_int_geom
• g05td – Generates a vector of pseudorandom integers from a general discrete distribution
• nag_rand_int_general
• g05te – Generates a vector of pseudorandom integers from a hypergeometric distribution
• nag_rand_int_hypergeom
• g05tf – Generates a vector of pseudorandom integers from a logarithmic distribution
• nag_rand_int_log
• g05tg – Generates a vector of pseudorandom integers from a multinomial distribution
• nag_rand_int_multinomial
• g05th – Generates a vector of pseudorandom integers from a negative binomial distribution
• nag_rand_int_negbin
• g05tj – Generates a vector of pseudorandom integers from a Poisson distribution
• nag_rand_int_poisson
• g05tk – Generates a vector of pseudorandom integers from a Poisson distribution with varying mean
• nag_rand_int_poisson_varmean
• g05tl – Generates a vector of pseudorandom integers from a uniform distribution
• nag_rand_int_uniform
• g05xa – Initializes the Brownian bridge generator
• nag_rand_bb_init
• g05xb – Generate paths for a free or non-free Wiener process using the Brownian bridge algorithm
• nag_rand_bb
• g05xc – Initializes the generator which backs out the increments of sample paths generated by a Brownian bridge algorithm
• nag_rand_bb_inc_init
• g05xd – Backs out the increments from sample paths generated by a Brownian bridge algorithm
• nag_rand_bb_inc
• g05xe – Creates a Brownian bridge construction order out of a set of input times
• nag_rand_bb_make_bridge_order
• g05yj – Generates a Normal quasi-random number sequence
• nag_rand_quasi_normal
• g05yk – Generates a log-normal quasi-random number sequence
• nag_rand_quasi_lognormal
• g05yl – Initializes a quasi-random number generator
• nag_rand_quasi_init
• g05ym – Generates a uniform quasi-random number sequence
• nag_rand_quasi_uniform
• g05yn – Initializes a scrambled quasi-random number generator
• nag_rand_quasi_init_scrambled
• g05zm – Setup for simulating one-dimensional random fields, user-defined variogram
• nag_rand_field_1d_user_setup
• g05zn – Setup for simulating one-dimensional random fields
• nag_rand_field_1d_predef_setup
• g05zp – Generates realizations of a one-dimensional random field
• nag_rand_field_1d_generate
• g05zq – Setup for simulating two-dimensional random fields, user-defined variogram
• nag_rand_field_2d_user_setup
• g05zr – Setup for simulating two-dimensional random fields, preset variogram
• nag_rand_field_2d_predef_setup
• g05zs – Generates realizations of a two-dimensional random field
• nag_rand_field_2d_generate
• g05zt – Generates realizations of fractional Brownian motion
• nag_rand_field_fracbm_generate

G04

G07