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

skewgent_cdf(x, mu, sigma, n, k, lambda)
% skewgent_cdf.m - compute Skewed Generalized T Cumulative Distribution Function.
%   See "Cyclicality in Catastrophic and Operational Risk Measurements", 
%   L Allen and T.G. Bali, CUNY.              
%               Vector Form of CDF !!!
%  Created by:  Jim Huntley,  08/24/06.

function [cdf] = skewgent_cdf(x, mu, sigma, n, k, lambda)

% Integrate PDF to get CDF.
pdf = skewgent_pdf(x, mu, sigma, n, k, lambda);
for jz = 1:size(x,2)
    cdf(jz) = simps(x(1:jz),pdf(1:jz));


Contact us