50 lines
1.0 KiB
Matlab
50 lines
1.0 KiB
Matlab
function [s,nu] = inverse_gamma_specification(mu,sigma,type)
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%
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% mu --> expectation
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% sigma --> standard deviation
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% type = 1 --> Inverse Gamma 1
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% type = 2 --> Inverse Gamma 2
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%
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% stephane.adjemian@cepremap.cnrs.fr [01/14/2004]
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sigma2 = sigma^2;
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mu2 = mu^2;
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if type == 2; % Inverse Gamma 2
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nu = 2*(2+mu2/sigma2);
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s = 2*mu*(1+mu2/sigma2);
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elseif type == 1; % Inverse Gamma 1
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if sigma2 < Inf;
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nu = sqrt(2*(2+mu2/sigma2));
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nu2 = 2*nu;
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nu1 = 2;
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err = 2*mu2*gamma(nu/2)^2-(sigma2+mu2)*(nu-2)*gamma((nu-1)/2)^2;
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while abs(nu2-nu1) > 1e-12
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if err > 0
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nu1 = nu;
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if nu < nu2
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nu = nu2;
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else
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nu = 2*nu;
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nu2 = nu;
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end
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else
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nu2 = nu;
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end
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nu = (nu1+nu2)/2;
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err = 2*mu2*gamma(nu/2)^2-(sigma2+mu2)*(nu-2)*gamma((nu-1)/2)^2;
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end
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s = (sigma2+mu2)*(nu-2);
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else;
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nu = 2;
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s = 2*mu2/pi;
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end;
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else;
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s = -1;
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nu = -1;
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end;
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% 01/18/2004 MJ replaced fsolve with secant
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% suppressed chck
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% changed order of output parameters |