Compound Poisson simulation

Versión 1.1.0.0 (4,82 KB) por Ben Petschel
benchmarks several versions of code for generating Compound Poisson random variables
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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).

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Ben Petschel (2025). Compound Poisson simulation (https://es.mathworks.com/matlabcentral/fileexchange/26042-compound-poisson-simulation), MATLAB Central File Exchange. Recuperado .

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Se creó con R2009b
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Inspirado por: RANDRAW

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1.1.0.0

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1.0.0.0