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wgpdrnd

PURPOSE ^

Random matrices from a Generalized Pareto Distribution

SYNOPSIS ^

r = wgpdrnd(k,s,m0,varargin);

DESCRIPTION ^

 WGPDRND Random matrices from a Generalized Pareto Distribution
  
  CALL:  R = wgpdrnd(k,s,m,sz);
      
         R = matrix of random numbers
         k = shape parameter in the GPD  (see wgpdcdf)
         s = scale parameter in the GPD    (default 1)
         m = location parameter in the GPD (default 0)
         sz = size(R)    (Default common size of k, s and m)
              sz can be a comma separated list or a vector 
              giving the size of R (see zeros for options).
 
  The random numbers are generated by the inverse method. 
 
  Example:
    R1=wgpdrnd(2,1,0,1,100);  % GPD k=2
    R2=wgpdrnd(1,1,0,1,100);  % GPD k=1  ==>  Uniform
    R3=wgpdrnd(0,1,0,1,100);  % GPD k=0  ==>  Exponential
    plot([R1 R2 R3],'.')
 
  See also  wgpdinv, wgpdcdf

CROSS-REFERENCE INFORMATION ^

This function calls: This function is called by:

SOURCE CODE ^

001 function r = wgpdrnd(k,s,m0,varargin);
002 %WGPDRND Random matrices from a Generalized Pareto Distribution
003 % 
004 % CALL:  R = wgpdrnd(k,s,m,sz);
005 %     
006 %        R = matrix of random numbers
007 %        k = shape parameter in the GPD  (see wgpdcdf)
008 %        s = scale parameter in the GPD    (default 1)
009 %        m = location parameter in the GPD (default 0)
010 %        sz = size(R)    (Default common size of k, s and m)
011 %             sz can be a comma separated list or a vector 
012 %             giving the size of R (see zeros for options).
013 %
014 % The random numbers are generated by the inverse method. 
015 %
016 % Example:
017 %   R1=wgpdrnd(2,1,0,1,100);  % GPD k=2
018 %   R2=wgpdrnd(1,1,0,1,100);  % GPD k=1  ==>  Uniform
019 %   R3=wgpdrnd(0,1,0,1,100);  % GPD k=0  ==>  Exponential
020 %   plot([R1 R2 R3],'.')
021 %
022 % See also  wgpdinv, wgpdcdf
023 
024 % Tested on: Matlab 5.3
025 % History: 
026 % Revised by jr 22.12.1999
027 % revised ms 14.06.2000
028 % - updated header info
029 % - changed name to wgpdrnd (from gpdrnd)
030 % - allowed 2 arguments
031 % revised pab 23.10.2000
032 %   - added default s,m0
033 %  - added comnsize, nargchk
034 %  - added greater flexibility on the sizing of R
035 
036 error(nargchk(2,inf,nargin))
037 if nargin<2|isempty(s), s=1;end
038 if nargin<3|isempty(m0), m0=0;end
039 if nargin<4,
040   [errorcode k ,s,m0] = comnsize(k,s,m0);
041 else
042   [errorcode k,s,m0] = comnsize(k,s,m0,zeros(varargin{:}));
043 end
044 if errorcode > 0
045   error('k,s and m0 must be of common size or scalar.');
046 end
047 r = wgpdinv(rand(size(k)),k,s,m0);
048 
049

Mathematical Statistics
Centre for Mathematical Sciences
Lund University with Lund Institute of Technology

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