Code covered by the BSD License  

Highlights from
Generation of Random Variates

image thumbnail

Generation of Random Variates

by

James Huntley (view profile)

 

generates random variates from over 870 univariate distributions

gandh_cdf(xv,p_value)
% gandh_cdf.m - G and H Cumulative Distribution.
%               "Dataplot Reference Manual", Vol. 1, Aux, 7/7/04.
%
%   created by:  J. Huntley,  10/25/06.
%
%   Calls:    'gaus1_ppf.m'.
%
%   Vector Form of CDF.
%

function [cdf,fhold] = gandh_cdf(xv,p_value)

% Initializations.
g = p_value(3);
h = p_value(4);
rand('state',0);
nsamples = size(xv,2);
ppf(1:nsamples) = 0;

% Evaluate PPF for evenly-spaced CDF values on [0,1].
xhold = rand(nsamples,1);
for js = 1:nsamples
    urd1 = xhold(js);
    [gppf,xcdf] = gaus1_ppf(urd1,p_value);        % single valued Gaussian PPF.
    ppf(js) = gppf;
end
fhold = (exp(g.*ppf)-1) .* exp(0.5.*h.*(ppf).^2)./g;
fmin = min(fhold);
fmax = max(fhold);

% Sort "range" values of PPF into "domain" order.
[xsort, index] = sort(xhold);
fsort = fhold(index);

% Interpolate CDF values to uniform spacing, xi.
xi = fmin:(fmax-fmin)/(nsamples-1):fmax;
cdf = interp1(fsort,xsort,xi,'linear');

return

Contact us