From bce9aba538662c2dfc09a1fd950972f6ac2c32a0 Mon Sep 17 00:00:00 2001
From: stepan <stepan@ac1d8469-bf42-47a9-8791-bf33cf982152>
Date: Mon, 16 Feb 2009 09:55:30 +0000
Subject: [PATCH] v4.1:: Added a random number generator for the exponential
distribution.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2417 ac1d8469-bf42-47a9-8791-bf33cf982152
---
matlab/distributions/toolbox/exprnd.m | 42 +++++++++++++++++++++++++++
1 file changed, 42 insertions(+)
create mode 100644 matlab/distributions/toolbox/exprnd.m
diff --git a/matlab/distributions/toolbox/exprnd.m b/matlab/distributions/toolbox/exprnd.m
new file mode 100644
index 0000000000..9fb56e3535
--- /dev/null
+++ b/matlab/distributions/toolbox/exprnd.m
@@ -0,0 +1,42 @@
+function rnd = exprnd(a)
+% Random samples from the exponential distribution with expectation 1/a
+% and variance (1/a)^2.
+%
+% INPUTS
+% a [double] m*n matrix of positive parameters
+%
+% OUTPUT
+% rnd [double] m*n matrix, independent draws from the exponential
+% distribution rnd(j,j) has expectation 1/a(i,j) and
+% variance (1/a(i,j))^2
+%
+% ALGORITHM
+% Inverse transform sampling.
+%
+% SPECIAL REQUIREMENTS
+% None.
+%
+
+% Copyright (C) 2009 Dynare Team
+%
+% This file is part of Dynare.
+%
+% Dynare is free software: you can redistribute it and/or modify
+% it under the terms of the GNU General Public License as published by
+% the Free Software Foundation, either version 3 of the License, or
+% (at your option) any later version.
+%
+% Dynare is distributed in the hope that it will be useful,
+% but WITHOUT ANY WARRANTY; without even the implied warranty of
+% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
+% GNU General Public License for more details.
+%
+% You should have received a copy of the GNU General Public License
+% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
+ if any(a(:)<1e-15)
+ disp('exprnd:: The parameter of the exponential distribution has to be positive!')
+ error;
+ end
+ [m,n] = size(a);
+ uniform_variates = rand(m,n);
+ rnd = -log(uniform_variates)./a;
\ No newline at end of file
--
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