Re: other method to simulate an exponential
- From: "Ray Koopman" <koopman@xxxxxx>
- Date: 20 Sep 2005 07:43:51 -0700
Lourdes wrote:
> Hello.
> I'm programing a simulation of ruin probabilities in C++.
> Is there any other method to simulate an exponential faster than
> y=-ln(1-uniform(0,1))/b?
> I think that using the log function makes things slower in C++.
> Many thanks.
> Lourdes
The fastest way to generate an exponential variable
is probably Marsaglia & Tsang's "ziggurat" method.
See the Journal Statistical Software, v 5, Issue 8, 2000.
http://www.jstatsoft.org/v05/i08/ziggurat.pdf
[reposted to sci.stat.math only]
.
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