3 * Copyright (C) 1996, 1997, 1998, 1999, 2000, 2007 James Theiler, Brian Gough
5 * This program is free software; you can redistribute it and/or modify
6 * it under the terms of the GNU General Public License as published by
7 * the Free Software Foundation; either version 3 of the License, or (at
8 * your option) any later version.
10 * This program is distributed in the hope that it will be useful, but
11 * WITHOUT ANY WARRANTY; without even the implied warranty of
12 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
13 * General Public License for more details.
15 * You should have received a copy of the GNU General Public License
16 * along with this program; if not, write to the Free Software
17 * Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301, USA.
22 #include <gsl/gsl_rng.h>
23 #include <gsl/gsl_randist.h>
25 /* The Type I Gumbel distribution has the form,
27 p(x) dx = a b exp(-(b exp(-ax) + ax)) dx
29 and the Type II Gumbel distribution has the form,
31 p(x) dx = b a x^-(a+1) exp(-b x^-a)) dx
36 gsl_ran_gumbel1 (const gsl_rng * r, const double a, const double b)
38 double x = gsl_rng_uniform_pos (r);
40 double z = (log(b) - log(-log(x))) / a;
46 gsl_ran_gumbel1_pdf (const double x, const double a, const double b)
48 double p = a * b * exp (-(b * exp(-a * x) + a * x));
53 gsl_ran_gumbel2 (const gsl_rng * r, const double a, const double b)
55 double x = gsl_rng_uniform_pos (r);
57 double z = pow(-b / log(x), 1/a);
63 gsl_ran_gumbel2_pdf (const double x, const double a, const double b)
71 double p = b * a * pow(x,-(a+1)) * exp (-b * pow(x, -a));