v4.1:: Reparametrization of the exponential distribution.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2418 ac1d8469-bf42-47a9-8791-bf33cf982152time-shift
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@ -1,14 +1,14 @@
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function rnd = exprnd(a)
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% Random samples from the exponential distribution with expectation 1/a
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% and variance (1/a)^2.
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% Random samples from the exponential distribution with expectation a
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% and variance a^2.
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%
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% INPUTS
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% a [double] m*n matrix of positive parameters
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%
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% OUTPUT
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% rnd [double] m*n matrix, independent draws from the exponential
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% distribution rnd(j,j) has expectation 1/a(i,j) and
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% variance (1/a(i,j))^2
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% distribution rnd(j,j) has expectation a(i,j) and
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% variance a(i,j)^2.
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%
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% ALGORITHM
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% Inverse transform sampling.
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@ -33,10 +33,10 @@ function rnd = exprnd(a)
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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if any(a(:)<1e-15)
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if any(a(:)<0)
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disp('exprnd:: The parameter of the exponential distribution has to be positive!')
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error;
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end
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[m,n] = size(a);
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uniform_variates = rand(m,n);
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rnd = -log(uniform_variates)./a;
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rnd = -log(uniform_variates).*a;
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