skew_normal_rng.hpp

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#ifndef STAN_MATH_PRIM_PROB_SKEW_NORMAL_RNG_HPP
#define STAN_MATH_PRIM_PROB_SKEW_NORMAL_RNG_HPP
 
#include <stan/math/prim/meta.hpp>
#include <stan/math/prim/err.hpp>
#include <stan/math/prim/fun/max_size.hpp>
#include <stan/math/prim/fun/scalar_seq_view.hpp>
#include <stan/math/prim/fun/to_ref.hpp>
#include <stan/math/prim/prob/normal_rng.hpp>
#include <boost/random/normal_distribution.hpp>
#include <boost/random/variate_generator.hpp>
 
namespace stan {
namespace math {
 
template <typename T_loc, typename T_scale, typename T_shape, class RNG>
inline typename VectorBuilder<true, double, T_loc, T_scale, T_shape>::type
skew_normal_rng(const T_loc& mu, const T_scale& sigma, const T_shape& alpha,
                RNG& rng) {
  using boost::variate_generator;
  using boost::random::normal_distribution;
  static constexpr const char* function = "skew_normal_rng";
  check_consistent_sizes(function, "Location parameter", mu, "Scale Parameter",
                         sigma, "Shape Parameter", alpha);
  const auto& mu_ref = to_ref(mu);
  const auto& sigma_ref = to_ref(sigma);
  const auto& alpha_ref = to_ref(alpha);
  check_finite(function, "Location parameter", mu_ref);
  check_positive_finite(function, "Scale parameter", sigma_ref);
  check_finite(function, "Shape parameter", alpha_ref);
 
  scalar_seq_view<T_loc> mu_vec(mu_ref);
  scalar_seq_view<T_scale> sigma_vec(sigma_ref);
  scalar_seq_view<T_shape> alpha_vec(alpha_ref);
  size_t N = max_size(mu, sigma, alpha);
  VectorBuilder<true, double, T_loc, T_scale, T_shape> output(N);
 
  variate_generator<RNG&, normal_distribution<> > norm_rng(
      rng, normal_distribution<>(0, 1));
  for (size_t n = 0; n < N; ++n) {
    double r1 = norm_rng();
    double r2 = norm_rng();
 
    if (r2 > alpha_vec[n] * r1) {
      r1 = -r1;
    }
 
    output[n] = mu_vec[n] + sigma_vec[n] * r1;
  }
 
  return output.data();
}
 
}  // namespace math
}  // namespace stan
#endif