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Generation of Random Variates

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Generation of Random Variates

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generates random variates from over 870 univariate distributions

z_pdf(x, alpha, bet, sigma, mu)
% z_pdf.m - evaluates a Z Probability Density.
%   See "Garch Modelling with Skewed Conditional Distributions",
%   J. Miettinen, U. Helsinki, Aug, 2005 (draft),
%   http://www.valt.helsinki.fi/staff/lanne/workshop05/miettinen.pdf.
%
%   Vector Form of PDF !!!
%
%  Created by Jim Huntley,  1/08/08
%

function [pdf] = z_pdf(x, alpha, bet, sigma, mu)

%persistent coef apb

%if(isempty(coef))
    apb = alpha + bet;
    coef = 1 / (sigma * beta(alpha,bet));
%end

arg = exp((x - mu) ./ sigma);
pdf = coef .* arg.^alpha ./ (1 + arg).^apb;

return

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