59 lines
1.7 KiB
Matlab
59 lines
1.7 KiB
Matlab
function g = cheng(a, b)
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% Returns gamma variates, see Devroye (1986) page 413 and Cheng (JRRS, 1977).
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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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%
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% REMARKS
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% The definition of aa is wrong in Devroye (1986).
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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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aa = 1./sqrt(2*a-1);
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bb = a-log(4);
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cc = a+sqrt(2*a-1);
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UV = NaN(nn,2);
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Y = NaN(nn,1);
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X = NaN(nn,1);
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Z = NaN(nn,1);
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R = NaN(nn,1);
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index = 1:nn;
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while mm
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UV(index,:) = rand(mm,2);
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Y(index) = aa(index).*log(UV(index,2)./(1-UV(index,2)));
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X(index) = a(index).*exp(Y(index));
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Z(index) = UV(index,1).*UV(index,2).*UV(index,2);
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R(index) = bb(index) + cc(index).*Y(index)-X(index);
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% Update the vector of indices, only keeping the rejected Xs.
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index = index(R(index)+2.504077396776274-4.5*Z(index)<0);
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if ~isempty(index)
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% Update the vector of indices, only keeping the rejected Xs.
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index = index(R(index)<log(Z(index)));
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end
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mm = length(index);
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end
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g = X.*b; |