Compound Poisson simulation
benchmarks several versions of code for generating Compound Poisson random variables
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).
引用格式
Ben Petschel (2026). Compound Poisson simulation (https://ww2.mathworks.cn/matlabcentral/fileexchange/26042-compound-poisson-simulation), MATLAB Central File Exchange. 检索时间: .
致谢
参考作品: RANDRAW
