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GRAN8: Gauss procedure to generate standard EPD (GED) random numbers

Author

Listed:
  • Urzúa, Carlos M.

    () (Tecnológico de Monterrey, Campus Ciudad de México)

Abstract

Generation of pseudo-random numbers from the standard Exponential Power Distribution (EPD), also known as the standard Generalized Error Distribution (GED). The density function of the standard EPD is proportional to exp(-abs(x)^tau), with "x" a real number and "tau" a shape parameter greater or equal to 1.

Suggested Citation

  • Urzúa, Carlos M., 2007. "GRAN8: Gauss procedure to generate standard EPD (GED) random numbers," EGAP Computer Code 2007-09, Tecnológico de Monterrey, Campus Ciudad de México.
  • Handle: RePEc:ega:comcod:200709
    as

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    File URL: http://alejandria.ccm.itesm.mx/egap/documentos/CC-2007-09.txt
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    Citations

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    Cited by:

    1. Urzúa, Carlos M., 2012. "Cinco propuestas en materia tributaria," EGAP Working Papers 2012-03, Tecnológico de Monterrey, Campus Ciudad de México.
    2. Urzúa, Carlos M., 2011. "Gasto público, subsidios y equidad social en América Latina," EGAP Working Papers 2011-04, Tecnológico de Monterrey, Campus Ciudad de México.

    More about this item

    Keywords

    exponential power distribution; generalized error distribution; pseudo-random numbers; variates; GAUSS;

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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