Compound Poisson simulation

Version 1.1.0.0 (4,82 ko) par Ben Petschel
benchmarks several versions of code for generating Compound Poisson random variables
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Mise à jour 10 déc. 2009

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Compound Poisson random variables are of the form S=X1+...+XN where the Xj are iid random variables and N is random with the Poisson distribution. Compound Poisson variables have many applications in physics and finance.

This file benchmarks several codes for generating 1 million random samples from a Compound Poisson distribution where the terms are Lognormal with mu=0 and sigma=1 and the Poisson frequency is 10.

The run times vary by a factor of more than 200 between the fastest and slowest versions (in R2009b). Interestingly, the fastest code is 10 times faster than the neat 1-liner that uses ARRAYFUN.

Requires POISSRND (Statistics Toolbox) and RANDRAW (FEX #7309).

Citation pour cette source

Ben Petschel (2024). Compound Poisson simulation (https://www.mathworks.com/matlabcentral/fileexchange/26042-compound-poisson-simulation), MATLAB Central File Exchange. Extrait(e) le .

Compatibilité avec les versions de MATLAB
Créé avec R2009b
Compatible avec toutes les versions
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Inspiré par : RANDRAW

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1.1.0.0

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1.0.0.0