rndald {bqror}

Generates random numbers from an AL distribution

Description

This function generates a vector of random numbers from an AL distribution at quantile p.

Usage

rndald(sigma, p, n)

Arguments

sigma

scale factor, a scalar value.

p

quantile or skewness parameter, p in (0,1).

n

number of observations

Details

Generates a vector of random numbers from an AL distribution as a mixture of normal'–'exponential distributions.

Value

Returns a vector (n x 1) of random numbers from an AL(0, \sigma, p)

References

Kozumi, H., and Kobayashi, G. (2011). '"Gibbs Sampling Methods for Bayesian Quantile Regression."' Journal of Statistical Computation and Simulation, 81(11): 1565'-'1578. DOI: 10.1080/00949655.2010.496117

Yu, K., and Zhang, J. (2005). '"A Three-Parameter Asymmetric Laplace Distribution."' Communications in Statistics - Theory and Methods, 34(9-10), 1867'-'1879. DOI: 10.1080/03610920500199018

See Also

asymmetric Laplace distribution

Examples

set.seed(101)
sigma <- 2.503306
p <- 0.25
n <- 1
output <- rndald(sigma, p, n)

# output
#   1.07328