1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
|
INTEGER FUNCTION ignnbn(n,p)
C**********************************************************************
C
C INTEGER FUNCTION IGNNBN( N, P )
C
C GENerate Negative BiNomial random deviate
C
C
C Function
C
C
C Generates a single random deviate from a negative binomial
C distribution.
C
C
C Arguments
C
C
C N --> Required number of events.
C INTEGER N
C JJV (N > 0)
C
C P --> The probability of an event during a Bernoulli trial.
C DOUBLE PRECISION P
C JJV (0.0 < P < 1.0)
C
C
C
C Method
C
C
C Algorithm from page 480 of
C
C Devroye, Luc
C
C Non-Uniform Random Variate Generation. Springer-Verlag,
C New York, 1986.
C
C**********************************************************************
C ..
C .. Scalar Arguments ..
DOUBLE PRECISION p
INTEGER n
C ..
C .. Local Scalars ..
DOUBLE PRECISION y,a,r
C ..
C .. External Functions ..
C JJV changed to call SGAMMA directly
C DOUBLE PRECISION gengam
DOUBLE PRECISION sgamma
INTEGER ignpoi
C EXTERNAL gengam,ignpoi
EXTERNAL sgamma,ignpoi
C ..
C .. Intrinsic Functions ..
INTRINSIC real
C ..
C .. Executable Statements ..
C Check Arguments
C JJV changed argumnet checker to abort if N <= 0
C See Rand,c
C Generate Y, a random gamma (n,(1-p)/p) variable
C JJV Note: the above parametrization is consistent with Devroye,
C JJV but gamma (p/(1-p),n) is the equivalent in our code
10 r = dble(n)
a = p/ (1.0-p)
C y = gengam(a,r)
y = sgamma(r)/a
C Generate a random Poisson(y) variable
ignnbn = ignpoi(y)
RETURN
END
|
