sampling from a distribution.

I want to get random samples from a mixture distribution for monte carlo approach. What are some matlab function that can be used?

Answer 1

[Image Analyst]

I don't know what distributions you want, but you might try the rand() function. Or if you want a specific distribution, you might try RANDRAW: http://www.mathworks.com/matlabcentral/fileexchange/7309-randraw which has about 50 of them.

[sepideh]

Thanks, The distribution is a mixture of gamma and generalized normal distribution in which case i need a function that gets my distribution from an m file and randomly selects from it.

[Image Analyst]

In general you need to construct the CDF of your PDF and then put in a random number to get your random draw. See this for more info: http://en.wikipedia.org/wiki/Inverse_transform_sampling