Random generation for piecewise exponential distribution

Source: R/rand.R

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 
#>   0.005   0.001   0.006 
summary(samp)
#>    Min. 1st Qu.  Median    Mean 3rd Qu.    Max. 
#>  0.0000  0.4793  1.1517  1.6597  2.3021 14.4929