The RcppZiggurat package updates the code for the Ziggurat generator by Marsaglia and other which provides very fast draws from a Normal distribution. The package provides a simple C++ wrapper class for the generator improving on the very basic macros, and permits comparison among several existing Ziggurat implementations. This can be seen in the figure where Ziggurat from this package dominates accessing the implementations from the GSL, QuantLib and Gretl—all of which are still way faster than the default Normal generator in R (which is of course of higher code complexity).
This release brings a corrected seed setter and getter which now correctly take care of all four state variables, and not just one. It also corrects a few typos in the vignette. Both were fixed quite a while back, but we somehow managed to not ship this to CRAN for two years.
NEWS file entry below lists all changes.
Changes in version 0.1.6 (2020-10-18)