A pseudo-random number generator is a deterministic recurrence , whose outputs pass statistical tests of independent uniformity; the Mersenne Twister (Matsumoto and Nishimura, 1998) and PCG (O’Neill, 2014; NumPy’s default) are examples. A counter-based generator computes directly from a counter and a key with a bijection , so that any draw can be produced without its predecessors; Philox (Salmon, Moraes, Dror and Shaw, 2011) is one. Inverse transform sampling turns a uniform into a draw of the distribution function .
Quantitative Finance · Glosarium
Apa itu Pseudo-random and counter-based generators, inverse transform sampling?
Dikenal juga sebagai: pseudo-random number generator · counter-based generator · inverse transform sampling