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
Check if all input arguments are either scalar or of common size. | |
Inverse of the Generalized Pareto distribution function | |
Display message and abort function. |
% CHAPTER5 contains the commands used in Chapter 5 of the tutorial | |
Quick test of the routines in module 'cycles' | |
Extrapolates a sequence of turning points. |
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
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