RNEXV

Generates pseudorandom numbers from an extreme value distribution.

Required Arguments

AMU — The location parameter of the extreme value distribution. (Input)

BETA — The scale parameter of the extreme value distribution. (Input)

R — Vector of length NR containing the random extreme value deviates. (Output)

Optional Arguments

NR — Number of random numbers to generate. (Input)
Default: NR = size (R,1).

FORTRAN 90 Interface

Generic: CALL RNEXV (AMU, BETA, R [, …])

Specific: The specific interface names are S_RNEXV and D_RNEXV.

FORTRAN 77 Interface

Single: CALL RNEXV (NR, AMU, BETA, R)

Double: The double precision name is DRNEXV.

Description

Routine RNEXV generates pseudorandom numbers from an extreme value distribution generated by evaluating uniform variates , equating to the CDF, and then solving for by first computing

 

where μ = AMU and β = BETA.

The routine ALNREL is used to accurately evaluate the sub-expression log(1 ‑ ui).

Comments

The routine RNSET can be used to initialize the seed of the random number generator. The routine RNOPT can be used to select the form of the generator.

Example

In this example, RNEXV is used to generate five pseudorandom deviates from an extreme value distribution with location parameter equal to 0.0, and scale parameter 1.0.

 

USE UMACH_INT

USE RNEXV_INT

IMPLICIT NONE

INTEGER NR

PARAMETER (NR=5)

INTEGER NOUT

REAL AAMU, B, R(NR)

CALL UMACH(2, NOUT)

CALL RNSET(123457)

AAMU = 0.0

B = 1.0

CALL RNEXV(AAMU, B, R)

WRITE (NOUT, 99999) R

99999 FORMAT (' Extreme value random deviates: ', 5F10.4)

END

Output

 

Extreme value random deviates: 1.2202 -1.1971 0.3740 -0.1715 0.6223