Code covered by the BSD License  

Highlights from
Generation of Random Variates

image thumbnail

Generation of Random Variates


James Huntley (view profile)


generates random variates from over 870 univariate distributions

meixner_cdf(x, a, b, d, m)
% genhyp_cdf.m - evaluates a Cumulative Meixner Distribution.
%   See "Some Aspects of Levy Processes in Finance", J. Tykesson, 8/30/03.
%  Created by Jim Huntley,  8/24/04

function [cdf] = meixner_cdf(x, a, b, d, m)

tol = 1e-8;
trace = [];
warning off MATLAB:quad:MinStepSize;

minx = min(x);

% Integrate PDF to get CDF.
sz = size(x,2);
for jz = 1:sz
    cdf(jz) = quad(@meixner_pdf,minx,x(jz),tol,trace,a,b,d,m);


Contact us