Mercurial > octave-nkf
view scripts/statistics/distributions/gamma_inv.m @ 4720:e759d01692db ss-2-1-53
[project @ 2004-01-23 04:13:37 by jwe]
author | jwe |
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date | Fri, 23 Jan 2004 04:13:37 +0000 |
parents | 38c61cbf086c |
children | 4b0f3b055331 |
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## Copyright (C) 1995, 1996, 1997 Kurt Hornik ## ## 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 2, 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, write to the Free ## Software Foundation, 59 Temple Place - Suite 330, Boston, MA ## 02111-1307, USA. ## -*- texinfo -*- ## @deftypefn {Function File} {} gamma_inv (@var{x}, @var{a}, @var{b}) ## For each component of @var{x}, compute the quantile (the inverse of ## the CDF) at @var{x} of the Gamma distribution with parameters @var{a} ## and @var{b}. ## @end deftypefn ## Author: KH <Kurt.Hornik@ci.tuwien.ac.at> ## Description: Quantile function of the Gamma distribution function inv = gamma_inv (x, a, b) if (nargin != 3) usage ("gamma_inv (x, a, b)"); endif [retval, x, a, b] = common_size (x, a, b); if (retval > 0) error ("gamma_inv: x, a and b must be of common size or scalars"); endif [r, c] = size (x); s = r * c; x = reshape (x, s, 1); a = reshape (a, s, 1); b = reshape (b, s, 1); inv = zeros (s, 1); k = find ((x < 0) | (x > 1) | isnan (x) | !(a > 0) | !(b > 0)); if (any (k)) inv (k) = NaN * ones (length (k), 1); endif k = find ((x == 1) & (a > 0) & (b > 0)); if (any (k)) inv (k) = Inf * ones (length (k), 1); endif k = find ((x > 0) & (x < 1) & (a > 0) & (b > 0)); if (any (k)) a = a (k); b = b (k); x = x (k); y = a ./ b; l = find (x < eps); if (any (l)) y(l) = sqrt (eps) * ones (length (l), 1); endif y_old = y; for i = 1 : 100 h = (gamma_cdf (y_old, a, b) - x) ./ gamma_pdf (y_old, a, b); y_new = y_old - h; ind = find (y_new <= eps); if (any (ind)) y_new (ind) = y_old (ind) / 10; h = y_old - y_new; endif if (max (abs (h)) < sqrt (eps)) break; endif y_old = y_new; endfor inv (k) = y_new; endif inv = reshape (inv, r, c); endfunction