58 lines
1.6 KiB
Matlab
58 lines
1.6 KiB
Matlab
function rnd = gamrnd(a,b)
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% GAMRND Random samples from the Gamma distribution
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% RND = gamrnd(A,B) returns a random sample from the
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% Gamma distribution with parameters A and B (i.e. mean of
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% the distribution is A*B and variance is A*B^2).
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%
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% Algorithm of Bauwens, Lubrano & Richard (page 316)
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% Copyright (C) 2006-2008 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 <http://www.gnu.org/licenses/>.
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if (nargin ~= 2)
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error('gamrnd: you must give two arguments');
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end
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if (~isscalar(a) || ~isscalar(b))
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error('gamrnd: A and B should be scalar parameters');
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end
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if (a <= 0 || a == Inf || b <= 0 || b == Inf)
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rnd = NaN;
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return
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end
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if a >30
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z = randn;
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rnd = b*(z+sqrt(4*a-1))^2/4;
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else
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condi = 1;
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while condi
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x = -1;
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while x<0
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u1 = rand;
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y = tan(pi*u1);
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x = y*sqrt(2*a-1)+a-1;
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end
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u2 = rand;
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if log(u2) <= log(1+y^2)+(a-1)*log(x/(a-1))-y*sqrt(2*a-1);
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break
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end
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end
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rnd = x*b;
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end
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