urlnorm: UNU.RAN Log-Normal random variate generator

In Runuran: R Interface to the 'UNU.RAN' Random Variate Generators

UNU.RAN Log-Normal random variate generator

Description

UNU.RAN random variate generator for the Log-Normal distribution whose logarithm has mean equal to meanlog and standard deviation equal to sdlog. It also allows sampling from the truncated distribution.

[Special Generator] – Sampling Function: Log-Normal.

Usage

urlnorm(n, meanlog=0, sdlog=1, lb=0, ub=Inf)

Arguments

n	size of required sample.
meanlog, sdlog	mean and standard deviation of the distribution on the log scale. If not not specified they assume the default values of 0 and 1, respectively.
lb	lower bound of (truncated) distribution.
ub	upper bound of (truncated) distribution.

Details

The Log-Normal distribution has density

f(x) = 1/(sqrt(2 pi) sigma x) e^-((log x - mu)^2 / (2 sigma^2))

where μ and σ are the mean and standard deviation of the logarithm.

The generation algorithm uses fast numerical inversion. The parameters lb and ub can be used to generate variates from the Log-Normal distribution truncated to the interval (lb,ub).

Note

This function is wrapper for the UNU.RAN class in R. Compared to rlnorm, urlnorm is faster, especially for larger sample sizes. However, in opposition to rlnorm vector arguments are ignored, i.e. only the first entry is used.

Author(s)

Josef Leydold and Wolfgang H\"ormann [e-mail].

References

W. H\"ormann, J. Leydold, and G. Derflinger (2004): Automatic Nonuniform Random Variate Generation. Springer-Verlag, Berlin Heidelberg

See Also

runif and .Random.seed about random number generation, unuran for the UNU.RAN class, and rlnorm for the R built-in generator.

Examples

## Create a sample of size 1000
x <- urlnorm(n=1000)

Runuran documentation built on Jan. 17, 2023, 5:17 p.m.