rpoisson: Simulation of homogeneous Poisson Processes

In rpgm: Fast Simulation of Normal/Exponential Random Variables and Stochastic Differential Equations / Poisson Processes

Description

The function rpoisson is a C-level function which simulates the jumping times of a Poisson process, returning each path as a vector of a list.

Usage

rpoisson(n, lambda = 1, T = 1, drop = TRUE)

Arguments

n	integer, number of paths.
lambda	double, intensity of the Poisson process.
T	double, end time of the simulations.
drop	logical, if n = 1 and drop = TRUE, returns the single path as a vector instead of a list.

Value

rpoisson returns a list of n paths of a Poisson process of intensity lambda. Each element of the list is the vector of the jumping times.

Author(s)

Nicolas Baradel - PGM Solutions

References

https://en.wikipedia.org/wiki/Poisson_point_process#Homogeneous_Poisson_point_process

See Also

https://pgm-solutions.com/packages

Examples

x <- rpoisson(5, 5)

Example output

rpgm documentation built on March 18, 2018, 2:24 p.m.