23 lines
1.0 KiB
Matlab
23 lines
1.0 KiB
Matlab
function draw = rand_multivariate_student(Mean,Sigma_upper_chol,df)
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% Pseudo random draws from a multivariate student distribution,
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% with expectation Mean, variance Sigma*df/(df-2) and degrees of freedom df>0.
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%
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% INPUTS
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%
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% Mean [double] 1*n vector, expectation of the multivariate random variable.
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% Sigma_upper_chol [double] n*n matrix, upper triangular Cholesky decomposition of Sigma
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% (the covariance matrix up to a factor df/(df-2)).
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% df [integer] degrees of freedom.
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%
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% OUTPUTS
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% draw [double] 1*n vector drawn from a multivariate normal distribution with expectation Mean and
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% covariance Sigma.
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%
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% REMARK This is certainly not the most efficient way...
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%
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% NOTE See Zellner (appendix B.2, 1971) for a definition.
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%
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% part of DYNARE, copyright Dynare Team (2003-2008)
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% Gnu Public License.
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n = length(Mean);
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draw = Mean + randn(1,n) * Sigma_upper_chol * sqrt(df/sum(randn(df,1).^2)); |