37 lines
1.2 KiB
Matlab
37 lines
1.2 KiB
Matlab
function ldens = lpdfig2(x,s,nu)
|
|
% function ldens = lpdfig2(x,s,nu)
|
|
% log INVERSE GAMMA (type 2)
|
|
% X ~ IG2(s,nu)
|
|
% X = inv(Z) where Z ~ G(nu/2,2/s) (Gamma distribution)
|
|
%
|
|
% INPUTS
|
|
% x: density evatuated at x
|
|
% s: shape parameter
|
|
% nu: scale parameter
|
|
%
|
|
% OUTPUTS
|
|
% ldens: the log INVERSE GAMMA density function (type 2)
|
|
%
|
|
% SPECIAL REQUIREMENTS
|
|
% See L. Bauwens, M. Lubrano and J-F. Richard [1999, appendix A] for more
|
|
% details.
|
|
|
|
% Copyright (C) 2004-2008 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/>.
|
|
|
|
ldens = - gammaln(nu/2) - (nu/2)*log(2/s) - .5*(nu+2)*log(x) -.5*s./x;
|