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

Carlos Urzúa

EGAP Computer Code from 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.

Language: GAUSS
Keywords: exponential power distribution; generalized error distribution; pseudo-random numbers; variates; GAUSS (search for similar items in EconPapers)
JEL-codes: C15 C16 C87 (search for similar items in EconPapers)
Date: 2007-12
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