v4.1:: Added a random number generator for the exponential distribution.

git-svn-id: https://www.dynare.org/svn/dynare/trunk@2417 ac1d8469-bf42-47a9-8791-bf33cf982152

matlab/distributions/toolbox/exprnd.m

@@ -0,0 +1,42 @@
+function rnd = exprnd(a)
+%  Random samples from the exponential distribution with expectation 1/a
+%  and variance (1/a)^2.
+%
+%  INPUTS 
+%    a       [double]    m*n matrix of positive parameters
+%
+%  OUTPUT 
+%    rnd     [double]    m*n matrix, independent draws from the exponential
+%                        distribution rnd(j,j) has expectation 1/a(i,j) and     
+%                        variance (1/a(i,j))^2   
+%
+%  ALGORITHM  
+%    Inverse transform sampling.
+%
+%  SPECIAL REQUIREMENTS
+%    None.
+%    
+
+% Copyright (C) 2009 Dynare Team
+%
+% This file is part of Dynare.
+%
+% Dynare is free software: you can redistribute it and/or modify
+% it under the terms of the GNU General Public License as published by
+% the Free Software Foundation, either version 3 of the License, or
+% (at your option) any later version.
+%
+% Dynare is distributed in the hope that it will be useful,
+% but WITHOUT ANY WARRANTY; without even the implied warranty of
+% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+% GNU General Public License for more details.
+%
+% You should have received a copy of the GNU General Public License
+% along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
+    if any(a(:)<1e-15)
+        disp('exprnd:: The parameter of the exponential distribution has to be positive!')
+        error;
+    end
+    [m,n] = size(a);
+    uniform_variates = rand(m,n);
+    rnd = -log(uniform_variates)./a;