stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

v4.1:: Changes related to the gamma variate generator. 

+ Changed headers.
+ Allows vector of coefficients when calling the Beta random generator.


git-svn-id: https://www.dynare.org/svn/dynare/trunk@2422 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
stepan 2009-02-17 16:00:40 +00:00
parent a05b5e9481
commit 01ba142329
2 changed files with 45 additions and 20 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

41
matlab/distributions/toolbox/betarnd.m
View File

@ -1,11 +1,19 @@
function rnd = betarnd(a, b) function rnd = betarnd(a, b)
% BETARND Random samples from the Beta distribution % This function produces independent random variates from the Beta distribution.
% RND = betarnd(A,B) returns a random sample from the %
% Beta distribution with parameters A and B (i.e. mean of % INPUTS
% the distribution is A/(A+B) and variance is % a [double] n*1 vector of positive parameters.
% A*B/(A+B)^2/(A+B+1) ). % b [double] n*1 vector of positive parameters.
%
% OUTPUT
% rnd [double] n*1 vector of independent variates from the beta(a,b) distribution.
% rnd(i) is beta distributed with variance a(i)/(a(i)+b(i)) and
% variance a(i)b(i)/(a(i)+b(i))^2/(a(i)+b(i)+1).
%
% ALGORITHMS
% Described and Devroye (1986, chapter 9).
% Copyright (C) 2008 Dynare Team % Copyright (C) 2008-2009 Dynare Team
% %
% This file is part of Dynare. % This file is part of Dynare.
% %
@ -26,13 +34,20 @@ if (nargin ~= 2)
error('betarnd: you must give two arguments'); error('betarnd: you must give two arguments');
end end
if (~isscalar(a) || ~isscalar(b)) if (any(a<0)) || (any(b<0)) || (any(a==Inf)) || (any(b==Inf))
error('betarnd: A and B should be scalar parameters'); error('betarnd:: Input arguments must be finite and positive!');
end end
if (a <= 0 || a == Inf || b <= 0 || b == Inf) [ma,na] = size(a);
rnd = NaN; [mb,nb] = size(b);
else
x = gamrnd(a, 1); if ma~=mb || na~=nb
rnd = x/(x+gamrnd(b, 1)); error('betarnd:: Input arguments must have the same size!');
end end
if na~=1
error('betarnd:: Input arguments must be column vectors');
end
x = gamrnd(a,ones(ma,1));
rnd = x./(x+gamrnd(b, ones(mb,1)));

24
matlab/distributions/toolbox/gamrnd.m
View File

@ -1,12 +1,19 @@
function rnd = gamrnd(a,b,method) function rnd = gamrnd(a,b,method)
% GAMRND Random samples from the Gamma distribution % This function produces independent random variates from the Gamma distribution.
% RND = gamrnd(A,B) returns a random sample from the
% Gamma distribution with parameters A and B (i.e. mean of
% the distribution is A*B and variance is A*B^2).
% %
% Algorithm of Bauwens, Lubrano & Richard (page 316) % INPUTS
% a [double] n*1 vector of positive parameters.
% b [double] n*1 vector of positive parameters.
% method [string] 'BawensLubranoRichard' or anything else (see below).
%
% OUTPUT
% rnd [double] n*1 vector of independent variates from the gamma(a,b) distribution.
% rnd(i) is gamma distributed with variance a(i)b(i) and variance a(i)b(i)^2.
%
% ALGORITHMS
% Described in Bauwens, Lubrano and Richard (1999, page 316) and Devroye (1986, chapter 9).
% Copyright (C) 2006-2008 Dynare Team % Copyright (C) 2006-2009 Dynare Team
% %
% This file is part of Dynare. % This file is part of Dynare.
% %
@ -36,7 +43,10 @@ if nargin==2
end end
if ~strcmpi(method,'BauwensLubranoRichard') if ~strcmpi(method,'BauwensLubranoRichard')
Devroye.big = 'Best'; % 'Cheng' , 'Best' Devroye.big = 'Best'; % 'Cheng' , 'Best'
% REMARK: The first algorithm (Cheng) is still producing obviously wrong simulations. % REMARK 1: The first algorithm (Cheng) is still producing obviously wrong simulations.
% REMARK 2: The second algorithm seems slightly slower than the algorithm advocated by Bauwens,
% Lubrano and Richard, but the comparison depends on the value of a (this should be
% investigated further).
end end
end end