rpgm: Fast Simulation of Normal/Exponential Random Variables and Stochastic Differential Equations / Poisson Processes

Fast simulation of some random variables than the usual native functions, including rnorm() and rexp(), using Ziggurat method, reference: MARSAGLIA, George, TSANG, Wai Wan, and al. (2000) <doi:10.18637/jss.v005.i08>, and fast simulation of stochastic differential equations / Poisson processes.

Version: 1.1.2
Published: 2018-02-25
Author: Nicolas Baradel
Maintainer: Nicolas Baradel - PGM Solutions <nicolas.baradel at pgm-solutions.com>
License: GPL-3
URL: https://pgm-solutions.com/packages
NeedsCompilation: yes
SystemRequirements: C++11
In views: DifferentialEquations, Distributions, Finance
CRAN checks: rpgm results


Reference manual: rpgm.pdf
Package source: rpgm_1.1.2.tar.gz
Windows binaries: r-devel: rpgm_1.1.2.zip, r-release: rpgm_1.1.2.zip, r-oldrel: rpgm_1.1.2.zip
OS X binaries: r-release: rpgm_1.1.2.tgz, r-oldrel: rpgm_1.1.2.tgz
Old sources: rpgm archive


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