Normal random number generator.
When used in a series expression, nrnd generates (pseudo) random draws from a normal distribution with zero mean and unit variance.
Examples
smpl @first @first
series y = 0
smpl @first+1 @last
series y = .6*y(-1)+.5*nrnd
generates a Y series that follows an AR(1) process with initial value zero. The innovations are normally distributed with mean zero and standard deviation 0.5.
series u = 10+@sqr(3)*nrnd
series z = u+.5*u(-1)
generates a Z series that follows an MA(1) process. The innovations are normally distributed with mean 10 and variance 3.
series x = nrnd^2+nrnd^2+nrnd^2
generates an X series as the sum of squares of three
independent standard normal random variables, which has a
distribution. Note that adding the sum of the three series is not the same as issuing the command:
series x=3*nrnd^2
since the latter involves the generation of a single random variable.
The command:
series x=@qchisq(rnd,3)
provides an alternative method of simulating random draws from a
distribution.
Cross-references
See
“Statistical Distribution Functions” for a list of other random number generating functions from various distributions.
See also
rnd,
rndint and
rndseed.