12 lines
394 B
Matlab
12 lines
394 B
Matlab
function ldens = lpdfig1(x,s,nu)
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% log INVERSE GAMMA (type 1)
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%
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% X ~ IG1(s,nu)
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% X = sqrt(Y) where Y ~ IG2(s,nu) and Y = inv(Z) with Z ~ G(nu/2,2/s) (Gamma distribution)
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%
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% See L. Bauwens, M. Lubrano and J-F. Richard [1999, appendix A] for more
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% details.
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%
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% stephane.adjemian@cepremap.cnrs.fr [01/16/2004]
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ldens = log(2) - gammaln(nu/2) - (nu/2).*log(2/s) - (nu+1)*log(x) - .5*s./(x.^2); |