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GRAN4: Gauss procedure to generate Laplace-distributed random numbers

Carlos Urzúa

EGAP Computer Code from Tecnológico de Monterrey, Campus Ciudad de México

Abstract: Generation of Laplace-distributed (double exponential) pseudo-random numbers using GAUSS (version 3.6 or later). That is, generation of random variates that come from a density proportional to: exp(-abs(x)/b).

Language: GAUSS
Keywords: Laplace distribution; Double exponential; random numbers; pseudo-random numbers; Laplace variates; GAUSS (search for similar items in EconPapers)
JEL-codes: C15 C16 C87 (search for similar items in EconPapers)
Date: 2007-03
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Handle: RePEc:ega:comcod:200705