Runuran

MaRDI QIDQ21351swMATHCRANFDO

Authors Josef Leydold, Wolfgang H"ormann, Wolfgang Hormann

Last update 7 April 2025

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier 0.38, PACKAGES.rds, 0.4, 0.5, 0.6, 0.7.1, 0.7, 0.8.0, 0.9.0, 0.10.0, 0.10.1, 0.11.0, 0.12.0, 0.13.0, 0.14.0, 0.15.0, 0.16.0, 0.17.0, 0.18.0, 0.19.0, 0.20.0, 0.21.0, 0.22.0, 0.23.0, 0.24, 0.26, 0.27, 0.28, 0.30, 0.32, 0.33, 0.34, 0.35, 0.36, 0.37, 0.39, 0.40, 0.41

Official website http://cran.r-project.org/web/packages/Runuran/index.html

Source code repository https://github.com/cran/Runuran

Description

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.

Cited in

(21)

• argus
• Efficient risk simulations for linear asset portfolios in the t-copula model
• RHclust
• riskSimul
• rerandPower
• trawl
• A general control variate method for option pricing under Lévy processes
• gbeta
• ElliptCopulas
• An automatic code generator for nonuniform random variate generation
• ghyp
• ANURAN
• UNU.RAN
• New zero-inflated regression models with a variant of censoring
• Single-index importance sampling with stratification
• Generating generalized inverse Gaussian random variates by fast inversion
• GLMMadaptive
• Functional uniform priors for nonlinear modeling
• Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions
• Nonlinear mixed-effects models with scale mixture of skew-normal distributions
• IndependenceTests

This page was built for software: Runuran