54 lines
1.4 KiB
Matlab
54 lines
1.4 KiB
Matlab
function g = ahrens_dieter(a, b)
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% Returns gamma variates, see Devroye (1986) page 425.
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%
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% INPUTS
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% - a [double] n*1 vector, first hyperparameter.
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% - b [double] n*1 vector, second hyperparameter.
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%
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% OUTPUTS
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% - g [double] n*1 vector, gamma variates.
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% Copyright © 2006-2018 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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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 <https://www.gnu.org/licenses/>.
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nn = length(a);
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mm = nn;
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bb = (exp(1)+a)/exp(1);
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cc = 1./a;
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index = 1:nn;
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U = NaN(nn,1);
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W = NaN(nn,1);
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V = NaN(nn,1);
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X = NaN(nn,1);
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while mm
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U(index) = rand(mm,1);
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W(index) = rand(mm,1);
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V(index) = U(index).*bb(index);
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id1 = index(V(index)<=1);
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id2 = setdiff(index, id1);
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X(id1) = V(id1).^cc(id1);
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id3 = id1(W(id1)>exp(-X(id1)));
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X(id2) = -log(cc(id2).*(bb(id2)-V(id2)));
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id4 = id2(W(id2)>X(id2).^(a(id2)-1));
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index = [id3, id4];
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mm = length(index);
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end
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g = X.*b ;
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