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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

delaport_pdf(n, alpha, bet, gam)
% delaport_pdf.m - evaluates a Delaporte Probability Density.
%   See "Decompounding Random Sums: A nonparametric approach", M. B. Hansen
%   and S. M. Pitts, Aalborg U., May, 2006.
%
%  Created by Jim Huntley,  7/20/06
%

function [pdf] = delaport_pdf(n, alpha, bet, gam)

%persistent lgam lbet

%if(isempty(lgam))
    lgam = log(gam);
    lbet = log(1/(1+bet));
%end

sum1 = 0;

for jk = 1:n+1
    %sum1 = sum1 + gam^(n-jk+1) * binomial_coef(alpha+jk-2,jk-1) *  ...
    %      (1/(1+bet))^(jk-1) / factorial(n-jk+1);
    sum1 = sum1 + exp((n-jk+1)*lgam + log(binomial_coef(alpha+jk-2,jk-1)) +  ...
          (jk-1)*lbet - gammaln(n-jk+2));  
end

pdf = sum1 * exp(-gam) * (bet/(bet+1))^alpha;

return

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