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Generation of Random Variates

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Generation of Random Variates


James Huntley


generates random variates from over 870 univariate distributions

snvg_pdf(x, delta, c, lambda)
% snvg_pdf.m - evaluates a Symmetric Normal Variance Gamma Probability Density.
%   See "Tests of Fit for Symmetric Variance Gamma Distributions", F. Kostas,
%   15th European Young Statisticians Meeting, Sept 10-14, 2007.    
%   Vector Form of PDF !!!
%  Created by Jim Huntley,  8/14/07

function [pdf] = snvg_pdf(x, delta, c, lambda)

%persistent coef pow

    pow = lambda-0.5;
    coef = -(log(c)+gammaln(lambda)+log(sqrt(pi)));

arg = abs(x-delta) ./ c;
pdf = exp(coef + pow.*log(0.5.*arg) + log(besselk(pow,arg)));


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