rand_gamma 1.0

Date Added: September 08, 2013 | Visits: 345

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Generate a Gamma random variable "Statistical Distributions", Evans, Hastings, Peacock, 2nd Edition, Wiley, 1993, p.75-81INPUTS: (N,M) = size of array of random variables to generate b = scale parameter > 0 c = shape parameter > 0 probability density function (pdf) p(x) = (x/b)^(c-1) * exp(-x/b) / (b * gamma(c)) where gamma(c) is the gamma function (http://en.wikipedia.org/wiki/Gamma_function)Basic stats of the gamma distribution mean = b c variance = b^2 c generation method comes from http://en.wikipedia.org/wiki/Gamma_distrib...andom_variables notation: theta = b k = c the algorithm exploits several properties of the gamma (1) Gamma(b,1) ~ Exp(b) (an exponential random variable) (2) sum_{i=1}^{n} Gamma(b,c_i) ~ Gamma(b,c) where c=sum_{i=1}^{n} c_i plus acceptance-rejectance sampling

Requirements: No special requirements

Platforms: Matlab

Keyword: Basic, Distribution, Gamma, Generation, Method, Notation, Stats, Theta, Variance

Users rating: 0/10

License: Shareware

Size: 10 KB

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