Commit e1b8fb9b authored by stepan's avatar stepan
Browse files

v4.1:: Reparametrization of the exponential distribution.


git-svn-id: https://www.dynare.org/svn/dynare/trunk@2418 ac1d8469-bf42-47a9-8791-bf33cf982152
parent bce9aba5
function rnd = exprnd(a) function rnd = exprnd(a)
% Random samples from the exponential distribution with expectation 1/a % Random samples from the exponential distribution with expectation a
% and variance (1/a)^2. % and variance a^2.
% %
% INPUTS % INPUTS
% a [double] m*n matrix of positive parameters % a [double] m*n matrix of positive parameters
% %
% OUTPUT % OUTPUT
% rnd [double] m*n matrix, independent draws from the exponential % rnd [double] m*n matrix, independent draws from the exponential
% distribution rnd(j,j) has expectation 1/a(i,j) and % distribution rnd(j,j) has expectation a(i,j) and
% variance (1/a(i,j))^2 % variance a(i,j)^2.
% %
% ALGORITHM % ALGORITHM
% Inverse transform sampling. % Inverse transform sampling.
...@@ -33,10 +33,10 @@ function rnd = exprnd(a) ...@@ -33,10 +33,10 @@ function rnd = exprnd(a)
% %
% You should have received a copy of the GNU General Public License % You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>. % along with Dynare. If not, see <http://www.gnu.org/licenses/>.
if any(a(:)<1e-15) if any(a(:)<0)
disp('exprnd:: The parameter of the exponential distribution has to be positive!') disp('exprnd:: The parameter of the exponential distribution has to be positive!')
error; error;
end end
[m,n] = size(a); [m,n] = size(a);
uniform_variates = rand(m,n); uniform_variates = rand(m,n);
rnd = -log(uniform_variates)./a; rnd = -log(uniform_variates).*a;
\ No newline at end of file \ No newline at end of file
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