58 lines
1.7 KiB
Matlab
58 lines
1.7 KiB
Matlab
function g = knuth(a, b)
|
|
|
|
% Returns gamma variates, see Bauwens, Lubrano & Richard (1999) page 316.
|
|
%
|
|
% INPUTS
|
|
% - a [double] n*1 vector, first hyperparameter.
|
|
% - b [double] n*1 vector, second hyperparameter.
|
|
%
|
|
% OUTPUTS
|
|
% - g [double] n*1 vector, gamma variates.
|
|
|
|
% Copyright (C) 2006-2018 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/>.
|
|
|
|
nn = length(a);
|
|
mm = nn;
|
|
bb = sqrt(2*a-1);
|
|
dd = 1./(a-1);
|
|
Y = NaN(nn,1);
|
|
X = NaN(nn,1);
|
|
INDEX = 1:mm;
|
|
index = INDEX;
|
|
|
|
while mm
|
|
Y(index) = tan(pi*rand(mm,1));
|
|
X(index) = Y(index).*bb(index) + a(index) - 1 ;
|
|
idy1 = find(X(index)>=0);
|
|
idn1 = setdiff(index,index(idy1));
|
|
if ~isempty(idy1)
|
|
test = log(rand(length(idy1),1)) <= ...
|
|
log(1+Y(index(idy1)).*Y(index(idy1))) + ...
|
|
(a(index(idy1))-1).*log(X(index(idy1)).*dd(index(idy1))) - ...
|
|
Y(index(idy1)).*bb(index(idy1)) ;
|
|
idy2 = find(test);
|
|
idn2 = setdiff(idy1, idy1(idy2));
|
|
else
|
|
idy2 = [];
|
|
idn2 = [];
|
|
end
|
|
index = [ INDEX(idn1) , INDEX(index(idn2)) ] ;
|
|
mm = length(index);
|
|
end
|
|
|
|
g = X.*b; |