Compound Poisson simulation
Updated 10 Dec 2009
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).
Ben Petschel (2023). Compound Poisson simulation (https://www.mathworks.com/matlabcentral/fileexchange/26042-compound-poisson-simulation), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Platform CompatibilityWindows macOS Linux
- AI, Data Science, and Statistics > Statistics and Machine Learning Toolbox > Probability Distributions > Discrete Distributions > Poisson Distribution >
Inspired by: RANDRAW
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