Commit bce9aba5 authored by stepan's avatar stepan
Browse files

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
parent e75b7f97
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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