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Closed-skew Gaussian generator

version 1.5.0.0 (2.33 KB) by Daniel Høyer Iversen
Genereates random number from the closed-skew Gaussian distribution.

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Updated 27 Jun 2011

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Genereates random number from the closed-skew Gaussian distribution with two different methods:

CSN_mcmc.m
Does mcmc, so each realisation are not completely independent
% Usage: [res, t_wi, t_inv] =CSN_mcmc(Mu,Sigma,Gamma,Nu,Delta,num,burn)
%
% Mu,Sigma,Gamma,Nu,Delta: parameters in CSN
% num: number of realisations
% burn: burnin time, the first 'burn' realisations are not returned
% res: returned realisations

CSN_BM.m
Completely independent realisations, but takes much longer time.
% Usage: [res, t_wi, t_inv] =CSN_BM(Mu,Sigma,Gamma,Nu,Delta,num)
%
% Mu,Sigma,Gamma,Nu,Delta: parameters in CSN
% num: number of realisations
% res: returned realisations

More info about the algorithms can be found here: www.dahoiv.net/master

Cite As

Daniel Høyer Iversen (2020). Closed-skew Gaussian generator (https://www.mathworks.com/matlabcentral/fileexchange/31969-closed-skew-gaussian-generator), MATLAB Central File Exchange. Retrieved .

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MATLAB Release Compatibility
Created with R2010b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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