Bivariate Gamma Distribution (CDF, PDF, samples) 1.0

Date Added: June 26, 2013 | Visits: 392

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This zip contains functions that allow- to draw random samples from any arbitrary bivariate Gamma distribution, with Gamma distributed marginals. The user should specify the shape and scale parameters of the marginals, as well as the linear correlation coefficient.The algorithm is based on Schmeiser, B. W. and Lal, R. (1982), "Bivariate Gamma Random Vectors", Operations Research, Vol. 30, No. 2, pp. 355-374 (INFORMS)- to evaluate the joint CDF and PDF of a pair of positively correlated Gamma random variables, with (user specified) shape and scale parameters and linear correlation coefficient ( > 0 ).The code is based on Smith, Adelfang and Tubbs (1982): "A bivariate Gamma Probability Distribution with Application to Gust Model", NASA Technical Memorandum 82483, National Aeronautics and Space Administration.

Requirements: No special requirements

Platforms: Matlab

Keyword: Adelfang, Correlated, Informs, Joint, Positively, Research, Smith, Variables

Users rating: 0/10

License: Shareware

Size: 10 KB

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