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rand_gamma

version 1.0.0.0 (14.9 KB) by Matthew Roughan
Generates Gamma randomc variables.

552 Downloads

Updated 04 Apr 2011

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Generate a Gamma random variable
"Statistical Distributions", Evans, Hastings, Peacock, 2nd Edition,
Wiley, 1993, p.75-81

INPUTS:
(N,M) = size of array of random variables to generate
b = scale parameter > 0
c = shape parameter > 0

probability density function (pdf)
p(x) = (x/b)^(c-1) * exp(-x/b) / (b * gamma(c))

where gamma(c) is the gamma function (http://en.wikipedia.org/wiki/Gamma_function)

Basic stats of the gamma distribution
mean = b c
variance = b^2 c

generation method comes from
http://en.wikipedia.org/wiki/Gamma_distribution#Generating_gamma-distributed_random_variables
notation: theta = b
k = c
the algorithm exploits several properties of the gamma
(1) Gamma(b,1) ~ Exp(b) (an exponential random variable)
(2) sum_{i=1}^{n} Gamma(b,c_i) ~ Gamma(b,c) where c=sum_{i=1}^{n} c_i
plus acceptance-rejectance sampling

Cite As

Matthew Roughan (2021). rand_gamma (https://www.mathworks.com/matlabcentral/fileexchange/30966-rand_gamma), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2007b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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