1

I'm doing some work involving pseudo-random data generation (I don't do the proper PRNG work, I just use generators). As I tweak and add features, I find myself in need for proper type definitions for random variables and for probability distributions, on an abstract level, which I can manipulate similarly to numbers in C++. The simplest example would be a random variable which, unlike a real number, is represented by both a mean and a variance. So when you add two of them, the variances also adds up; if you divide by a constant $k$ the variance drops by $\sqrt{k}$ etc.

I know that the "heavier" packages for statistical computing (maybe Scythe? Rcpp? those are the ones I've heard of anyway) probably have something like that in there somewhere, but I don't want to drag in something huge.

I can also implement something rudimentary myself, but that takes more time, is more bug-prone and is a waste if something is already available.

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.