Draw random samples from an exponential distribution with piecewise rates. rpwexp is vectorized and written in C++ for speed.

rpwexp(n, rate = 1, time = 0)

Arguments

n

Number of random observations to draw.

rate

A matrix of rates where rows correspond to observations and columns correspond to rates during specified time intervals.

time

A vector equal to the number of columns in rate giving the times at which the rate changes

Value

A vector of random samples from the piecewise exponential distribution. The length of the sample is determined by n. The numerical arguments other than n are recycled so that the number of samples is equal to n.

Examples

rate <- c(.6, 1.2, 1.3) n <- 100000 ratemat <- matrix(rep(rate, n/2), nrow = n, ncol = 3, byrow = TRUE) t <- c(0, 10, 15) ptm <- proc.time() samp <- rpwexp(n, ratemat, t) proc.time() - ptm
#> user system elapsed #> 0.009 0.002 0.011
summary(samp)
#> Min. 1st Qu. Median Mean 3rd Qu. Max. #> 0.0000 0.4793 1.1517 1.6597 2.3021 14.4929