59 lines
1.7 KiB
Matlab
59 lines
1.7 KiB
Matlab
function g = best_1983(a, b)
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% Returns gamma variates, see Devroye (1986) page 426 and Best (1983) page 187.
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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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index = 1:nn;
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U = NaN(nn,1);
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Ustar = NaN(nn, 1);
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P = NaN(nn,1);
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X = NaN(nn,1);
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Y = NaN(nn,1);
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zz = .07 + .75*sqrt(1-a);
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bb = 1 + exp(-zz).*a./zz;
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cc = 1./a;
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while mm
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U(index) = rand(mm,1);
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Ustar(index) = rand(mm, 1);
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P(index) = U(index).*bb(index);
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id1 = index(P(index)<=1);
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id2 = setdiff(index, id1); % Goto 4.
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X(id1) = zz(id1).*(P(id1).^cc(id1));
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id3 = id1(Ustar(id1)>((2-X(id1))./(2+X(id1))));
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id5 = id3(Ustar(id3)>exp(-X(id3)));
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X(id2) = -log(cc(id2).*zz(id2).*(bb(id2)-P(id2))); % This is 4.
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Y(id2) = X(id2)./zz(id2);
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id4 = id2(Ustar(id2).*(a(id2)+(1-a(id2)).*Y(id2))>1);
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id6 = id4(Ustar(id4)>Y(id4).^(a(id4)-1));
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index = [id5, id6];
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mm = length(index);
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end
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g = X.*b;
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