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Generation of Random Variates

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Generation of Random Variates


James Huntley


generates random variates from over 870 univariate distributions

genlogn_pdf(x, tau, sigma, mu)
% genlogn_pdf.m - evaluates a Generalized Lognormal Probability Density.
%   See "The Generalized Lognormal Distribution as an Income Distribution", 
%   C. Kleiber and S. Scheid, Dortmund,.               
%               Vector Form of CDF !!!
%  Created by:  Jim Huntley,  10/30/08.

function[pdf] = genlogn_pdf(x, tau, sigma, mu)

%persistent coef denom

    coef = (log(0.5) - (log(tau)/tau+log(sigma)+gammaln(1+(1/tau))));
    denom = 1 / (tau*sigma^tau);

pdf =  exp(coef - denom.*(abs(log(x)-mu)).^tau - log(x));


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