Ziggurat normal random number generator ported to Python
`NumPy` installation is required. Python 3 compatible.
To install, run
`python setup.py install`
or you can install from PyPI:
`pip install zignor`
If you are running Windows and don't have MSVC compiler installed, a pre-built distribution on Python 3.5 is given in `dist` folder.
It will automatically import `NumPy`, so you can just use
to generate a matrix of 3 by 5.
## More functions
This module includes two implementations. One is an slightly modified implementation of the original Ziggurat method ([http://www.jstatsoft.org/article/downloadSuppFile/v005i08/rnorrexp.c](http://www.jstatsoft.org/article/downloadSuppFile/v005i08/rnorrexp.c)). It uses SHR3 as the RNG for uniform distribution. This is the code behind `zignor.randn()` and `zignor.rnor()` method, and it is the faster of the two.
We also included a `zignor.rexp()` for generation exponential distribution.
The other implementation is the VIZIGNOR implementation by Doornik, J.A. It improves the original method and uses MWC8222 RNG to enable the method to pass some more tests. This method can be called by `zignor.zignor()`.
1. G. Marsaglia and W.W. Tsang: The Ziggurat Method for Generating Random Variables. *Journal of Statistical Software*, vol. 5, no. 8, pp. 1–7, 2000.
2. Doornik, J.A. (2005), "An Improved Ziggurat Method to Generate Normal Random Samples", mimeo, Nuffield College, University of Oxford.
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