Mercurial > octave-nkf
view scripts/statistics/distributions/wienrnd.m @ 20643:d6d04088ac9e
nbininv.m: Increase speed (85X) and accuracy of function (bug #34363).
* nbininv.m: Call new function scalar_nbininv to calculate nbininv for scalar.
If there are still uncalculated values then call bin_search_nbininv. Call
bin_search_nbininv directly for vectors. Add more BIST tests.
* nbininv.m (scalar_binoinv): New subfunction to calculate nbininv for scalar x.
Stops when x > 1000.
* nbininv.m (bin_search_nbininv): New subfunction to do binary search for nbininv.
author | Lachlan Andrew <lachlanbis@gmail.com> |
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date | Sun, 11 Oct 2015 20:33:37 -0700 |
parents | d9341b422488 |
children |
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## Copyright (C) 1995-2015 Friedrich Leisch ## ## This file is part of Octave. ## ## Octave is free software; you can redistribute it and/or modify it ## under the terms of the GNU General Public License as published by ## the Free Software Foundation; either version 3 of the License, or (at ## your option) any later version. ## ## Octave is distributed in the hope that it will be useful, but ## WITHOUT ANY WARRANTY; without even the implied warranty of ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU ## General Public License for more details. ## ## You should have received a copy of the GNU General Public License ## along with Octave; see the file COPYING. If not, see ## <http://www.gnu.org/licenses/>. ## -*- texinfo -*- ## @deftypefn {Function File} {} wienrnd (@var{t}, @var{d}, @var{n}) ## Return a simulated realization of the @var{d}-dimensional Wiener Process ## on the interval [0, @var{t}]. ## ## If @var{d} is omitted, @var{d} = 1 is used. The first column of the ## return matrix contains time, the remaining columns contain the Wiener ## process. ## ## The optional parameter @var{n} defines the number of summands used for ## simulating the process over an interval of length 1. If @var{n} is ## omitted, @var{n} = 1000 is used. ## @end deftypefn ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at> ## Description: Simulate a Wiener process function retval = wienrnd (t, d, n) if (nargin == 1) d = 1; n = 1000; elseif (nargin == 2) n = 1000; elseif (nargin > 3) print_usage (); endif if (! isscalar (t) || ! isscalar (d) || ! isscalar (n)) error ("wienrnd: T, D and N must all be positive integers"); endif retval = randn (n * t, d); retval = cumsum (retval) / sqrt (n); retval = [((1: n*t)' / n), retval]; endfunction