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Generation of Random Variates

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Generation of Random Variates


James Huntley (view profile)


generates random variates from over 870 univariate distributions

asymsub_cdf(x, alpha, kappa, sigma, theta);
% asymsub_cdf.m - compute Asymmetric Subbotin Cumulative Distribution Function.
%   See "Macroeconomic Fluctuations and the Firms' Rate of Growth Distribution:
%   Evidence from US and UK Quoted Companies," E. Santoro, Cambridge, Oct., 2006.
%   Vector form of CDF!!!
%  Created by:  Jim Huntley,  03/30/05.

function [cdf] = asymsub_cdf(x, alpha, kappa, sigma, theta);

tol = 1e-8;
trace = [];
warning off MATLAB:quad:MinStepSize;

minx = min(x);

% Integrate PDF to get CDF.
warning off MATLAB:quad:MinStepSize
sz = size(x,2);
for jz = 1:sz
    cdf(jz) = quad(@asymsub_pdf,minx,x(jz),tol,trace,alpha,kappa,sigma,theta);


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