Compound Poisson simulation

benchmarks several versions of code for generating Compound Poisson random variables
Updated 10 Dec 2009

View License

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).

Cite As

Ben Petschel (2024). Compound Poisson simulation (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2009b
Compatible with any release
Platform Compatibility
Windows macOS Linux

Inspired by: RANDRAW

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!
Version Published Release Notes

updated comments