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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

ext1ev_cdf(x, rho, mu, p)
% ext1ev_cdf.m - evaluates an Extended Type I Extreme Value Cumulative Distribution.
%   See "Continuous Univariate Distributions", Vol. 2, Johnson, Kotz, and
%   Balakrishnan, Wiley, 1995.
%   Modified for positive arguments only (see jmh notes)!!!
%
%   Created by: J. Huntley,  01/09/07
%  

function [cdf] = ext1ev_cdf(x, rho, mu, p) 

% Compute CDF.
arg = x / mu;
sum1 = 0;
for jr = 1:p
    %sum1 = sum1 + arg^(jr-1) / factorial(jr-1);
    sum1 = sum1 + exp((jr-1)*log(arg+1e-8) - gammaln(jr));
end
cdf = (exp(-rho*exp(-arg)*sum1) - exp(-rho)) / (1 - exp(-rho));

return

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