GRAN5: Gauss procedure to generate heteroskedastic normal random numbers
AbstractGeneration of heteroskedastic normal pseudo-random numbers using GAUSS (version 3.6 or later). Drawings from a Chi-square with nu degrees of freedom are done first. Standard normal random numbers are next generated, and then they are transformed to have variances equal to the values of the Chi-square deviates.
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Bibliographic InfoSoftware component provided by Tecnológico de Monterrey, Campus Ciudad de México in its series EGAP Computer Code with number 2007-06.
Programming language: GAUSS
Date of creation: Mar 2007
Date of revision:
heteroskedastic normal distribution; heteroskedastic normal random numbers; pseudo-random numbers; variates; GAUSS;
Find related papers by JEL classification:
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