Code covered by the BSD License  

Highlights from
Generation of Random Variates

image thumbnail

Generation of Random Variates



generates random variates from over 870 univariate distributions

igsr_pdf(x, a, b, c, d, mu)
% igsr_pdf.m - evaluates an Inverted Gamma Square Root Probability Density.
%   See "A Bayesian Analysis of Moving Average Processes with Time-Dependent Parameters", 
%   K. Triantafyllopoulos and G. P. Nason, U. Sheffield, 21 April, 2006.
%   Vector Form of PDF !!!
%  Created by Jim Huntley,  8/24/06

function [pdf] = igsr_pdf(x, a, b, c, d, mu)

%persistent coef

    gammam = gamma(a) * gammainc(b/d,a) / b^a;
    coef = c^(2*a) / gammam;

pdf = coef .* abs(x-mu) .* exp(-b*c^2./((x-mu).^2+d*c^2)) ./ ((x-mu).^2+d*c^2).^(a+1);  


Contact us