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Generation of Random Variates

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Generation of Random Variates


James Huntley (view profile)


generates random variates from over 870 univariate distributions

gig_pdf(x, a, b, p)
% gig_pdf.m - evaluates a Generalized Inverse Gaussian Probability Density.
%   See "Generalized Inverse Gaussian Distribution", Wikipedia
%   Vector Form of PDF !!!
%  Created by Jim Huntley,  7/19/06

function [pdf] = gig_pdf(x, a, b, p)

%persistent c1

    c1 = 0.5 * (a/b)^(0.5*p) / besselk(p,sqrt(a*b));

pdf = c1 .* x.^(p-1) .* exp(-0.5.*(a.*x+b./x));


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