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Compound Poisson simulation

version 1.1.0.0 (4.82 KB) by Ben Petschel
benchmarks several versions of code for generating Compound Poisson random variables

2.5K Downloads

Updated 10 Dec 2009

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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 (2021). Compound Poisson simulation (https://www.mathworks.com/matlabcentral/fileexchange/26042-compound-poisson-simulation), MATLAB Central File Exchange. Retrieved .

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

Inspired by: RANDRAW

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