Generate random number from inverse gamma distribution

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khatereh 2012-5-27

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评论： Kasi Vemalaiah 2021-3-8

Hi, I want to get the sample from the inverse gamma distribution with two parameter a and b and I am wondering how I can do that in matlab? Please help me ! Thanks

回答（1 个）

Tom Lane 2012-5-27

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If I understand the inverse gamma correctly, you can generate from x=gamrnd(a,1./b) and then take y=1./x. This would require the Statistics Toolbox.

Have you solved this problem？I have compared the pdf curves obtained by ksdensity method of samples draw by the mentioned way using gamrnd function and by analytical solution using the equation of inverse-gamma pdf. It is shown as the alpha is smaller than 2, the mentioned way cannot sample well. Please see the attached figure where symbols represent pdf from ksdensity method and lines represent pdf from analytical solutoin.