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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

norrecgam_cdf(x, lambda, alpha, delta, mu)
% norrecgam_cdf.m - computes a Normal Reciprocal Gamma Cumulative Distribution.
%   See "Garch Modelling with Skewed Conditional Distributions",
%   J. Miettinen, U. Helsinki, Aug, 2005 (draft),
%   Vector Form of CDF !!!
%  Created by Jim Huntley,  1/07/08

function [cdf] = norrecgam_cdf(x, lambda, alpha, delta, mu)

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

minx = min(x);

% Integrate PDF to get CDF.
warning off MATLAB:quad:MinStepSize
sz = size(x,2);
for jz = 1:sz
    cdf(jz) = quad(@norrecgam_pdf,minx,x(jz),tol,trace,lambda,alpha,delta,mu);


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