Student t random number generator. More...
#include <ql/experimental/math/polarstudenttrng.hpp>
Public Types | |
typedef Sample< Real > | sample_type |
typedef URNG | urng_type |
Public Member Functions | |
PolarStudentTRng (Real degFreedom, BigNatural seed=0) | |
PolarStudentTRng (Real degFreedom, const URNG &urng) | |
sample_type | next () const |
returns a sample from a Student-t distribution | |
Student t random number generator.
Polar transformation based Student T random number generator. See "Polar Generation of Random Variates With the t-Distribution", Ralph W. Bailey, April 1994, in Mathematics of Computation, Vol 62-206 page 779. The one implemented here is a variant of this algorithm from "Random Number Generation and Monte Carlo Methods", Springer, 2003, page 185. Using a uniform RNG on a [-1,1] support, the extra call to the uniform generator (used for the sign of the sample) is avoided.
Class RNG must implement the following interface: