Generate Random Inverse Gaussian in R

September 20, 2014
By

[This article was first published on Lindons Log » R, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here)
Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.

Needed to generate draws from an inverse Gaussian today, so I wrote the following Rcpp code:

#include 
// [[Rcpp::depends(RcppArmadillo)]]

using namespace Rcpp;
using namespace arma;

// [[Rcpp::export]]
Col rrinvgauss(int n, double mu, double lambda){

	Col random_vector(n);
	double z,y,x,u;

	for(int i=0; i

It seems to be faster than existing implementations such as rig from mgcv and rinvgauss from statmod packages.

library(Rcpp) 
library(RcppArmadillo)
library(rbenchmark)
library(statmod)
library(mgcv)
sourceCpp("rrinvgauss.cpp")
n=10000 
benchmark(rig(n,1,1),rinvgauss(n,1,1),rrinvgauss(n,1,1),replications=100)

inverse gaussian

rename rrinvgauss as desired.

The post Generate Random Inverse Gaussian in R appeared first on Lindons Log.

To leave a comment for the author, please follow the link and comment on their blog: Lindons Log » R.

R-bloggers.com offers daily e-mail updates about R news and tutorials about learning R and many other topics. Click here if you're looking to post or find an R/data-science job.
Want to share your content on R-bloggers? click here if you have a blog, or here if you don't.



If you got this far, why not subscribe for updates from the site? Choose your flavor: e-mail, twitter, RSS, or facebook...

Comments are closed.

Search R-bloggers

Sponsors

Never miss an update!
Subscribe to R-bloggers to receive
e-mails with the latest R posts.
(You will not see this message again.)

Click here to close (This popup will not appear again)