PortableRandomInnovations      package:fBasics      R Documentation

_G_e_n_e_r_a_t_o_r _f_o_r _P_o_r_t_a_b_l_e _R_a_n_d_o_m _I_n_n_o_v_a_t_i_o_n_s

_D_e_s_c_r_i_p_t_i_o_n:

     A collection and description of functions to  generate portable
     random innovations. The  functions run under R and S-Plus and
     generate  the same sequence of random numbers. Supported  are
     uniform, normal and Student-t distributed  random numbers. 

     The functions are:

       'set.lcgseed'  Set initial random seed,
       'get.lcgseed'  Get the current valus of the random seed,
       'runif.lcg'    Uniform linear congruational generator,
       'rnorm.lcg'    Normal linear congruational generator,
       'rt.lcg'       Student-t linear congruential generator.

_U_s_a_g_e:

     set.lcgseed(seed = 4711)
     get.lcgseed()
     runif.lcg(n, min = 0, max = 1)
     rnorm.lcg(n, mean = 0, sd = 1)
     rt.lcg(n, df)   

_A_r_g_u_m_e_n_t_s:

      df: number of degrees of freedom, a positive integer, maybe 
          non-integer. 

mean, sd: means and standard deviation of the normal distributed 
          innovations. 

min, max: lower and upper limits of the uniform distributed 
          innovations. 

    seed: an integer value, the random number seed. 

       n: an integer, the number of random innovations to be 
          generated. 

_D_e_t_a_i_l_s:

     A simple portable random number generator for use in R and  SPlus.
     We recommend to use this generator only for comparisons  of
     calculations in R and Splus.

     The generator is a linear congruential generator with parameters
     'LCG(a=13445, c=0, m=2^31-1, X=0)'. It is a simple random  number
     generator which passes the bitwise randomness test.

_V_a_l_u_e:

     A vector of generated random innovations. The value of the current
     seed is stored in the variable 'lcg.seed'.

_A_u_t_h_o_r(_s):

     Diethelm Wuertz for the Rmetrics R-port.

_R_e_f_e_r_e_n_c_e_s:

     Altman, N.S. (1988); _Bitwise Behavior of Random Number
     Generators_, SIAM J. Sci. Stat. Comput., 9(5), September, 941-949.

_E_x_a_m_p_l_e_s:

     ## SOURCE("fSeries.4A-PortableRandomInnovations")

     ## set.lcgseed -
        set.lcgseed(seed = 65890)
      
     ## runif.lcg - rnorm.lcg - rt.lcg -
        cbind(runif.lcg(10), rnorm.lcg(10), rt.lcg(10, df = 4))

     ## get.lcgseed -
        get.lcgseed()  
        
     ## Note, to overwrite rnorm, use
        # rnorm = rnorm.lcg
        # Going back to rnorm
        # rm(rnorm)

