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Generation of Random Variates

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Generation of Random Variates

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generates random variates from over 870 univariate distributions

compnorm_cdf(x,phi,sigma,theta,p)
% compnorm_cdf.m - compute Compound Normal Cumulative Distribution Function.
%   See "Continuous Univariate Distributions", Vol.2, Johnson, Kotz, and Balakrishnan,   
%   J. Wiley, 1995, p.1. 
%
%  Created by Jim Huntley,  10/07/08
%
%   Note:  Vector form of the CDF!!!
%

function [cdf] = compnorm_cdf(x,phi,sigma,theta,p)

% Integrate PDF to get CDF.
pdf = compnorm_pdf(x,phi,sigma,theta,p);
for jx = 1:size(x,2)
    if(jx == 1)
        cdf(1) = pdf(1);
    elseif(jx == 2)
        cdf(jx) = trapz(x(1:jx),pdf(1:jx));
    elseif(jx > 2)
        cdf(jx) = simps(x(1:jx),pdf(1:jx));
    end
end

return



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