RcppZiggurat: Rcpp integration of different Ziggurat Normal RNG
The Ziggurat generator for normally distributed random numbers,
originally proposed by Marsaglia and Tsang (JSS, 2000), has been improved
upon a few times starting with Leong et al (JSS, 2005). This package provides
an aggregation in order to compare different implementations. The goal is to
provide an 'faster but good enough' alternative for use with R and C++ code.
The package is still in an early state. Unless you know what you are doing,
sticking with the generators provided by R may be a good idea as these have
been extremely diligently tested.