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Generation of Random Variates

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Generation of Random Variates

by

James Huntley (view profile)

 

generates random variates from over 870 univariate distributions

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

function [pdf] = meixner_pdf(x, a, b, d, m)

%persistent t1 t2 gamln2d

%if(isempty(t1))
    t1 = log((2*cos(b/2)).^(2.*d));
    t2 = log(2*a*pi);
    gamln2d = gammaln(2*d);
%end

%pdf = (2*cos(b/2)).^(2.*d) .* exp(b.*(x-m)/a) .* (abs(cgamma(d+i.*(x-m)./a))).^2 ./ (2*a*pi*gamma(2*d));
pdf = exp(t1 + (b.*(x-m)/a) + log((abs(cgamma(d+i.*(x-m)./a))).^2) - (t2 + gamln2d)); 

return

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