Runuran: R interface to the UNU.RAN random variate generators. Interface to the UNU.RAN library for Universal Non-Uniform RANdom variate generators. Thus it allows to build non-uniform random number generators from quite arbitrary distributions. In particular, it provides an algorithm for fast numerical inversion for distribution with given density function. In addition, the package contains densities, distribution functions and quantiles from a couple of distributions
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References in zbMATH (referenced in 4 articles )
Showing results 1 to 4 of 4.
- Dingeç, Kemal Dinçer; Hörmann, Wolfgang: A general control variate method for option pricing under Lévy processes (2012)
- Leydold, Josef; Hörmann, Wolfgang: Generating generalized inverse Gaussian random variates by fast inversion (2011)
- Sak, Halis; Hörmann, Wolfgang; Leydold, Josef: Efficient risk simulations for linear asset portfolios in the $t$-copula model (2010)
- Leydold, Josef; Derflinger, Gerhard; Tirler, Günter; Hörmann, Wolfgang: An automatic code generator for nonuniform random variate generation (2003)