Leydold, Josef, Hörmann, Wolfgang. 2009. Generating Generalized Inverse Gaussian Random Variates by Fast Inversion. Research Report Series, Department of Statistics and Mathematics, Report 95.
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Abstract
We demonstrate that for the fast numerical inversion of the (generalized) inverse Gaussian distribution two algorithms based on polynomial interpolation are well-suited. Their precision is close to machine precision and they are much faster than the bisection method recently proposed by Y. Lai.
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| Status of publication | Published |
|---|---|
| Affiliation | WU |
| Type of publication | Working/discussion paper, preprint |
| Language | English |
| Title | Generating Generalized Inverse Gaussian Random Variates by Fast Inversion |
| Title of whole publication | Research Report Series, Department of Statistics and Mathematics, Report 95 |
| Year | 2009 |
| URL | http://epub.wu-wien.ac.at/dyn/virlib/wp/showentry?ID=epub-wu-01_f74&from=NEW&style=blank |
Associations
- People
- Leydold, Josef (Details)
- Hörmann, Wolfgang (Former researcher)
- Organization
- Institute for Statistics and Mathematics IN (Details)
- Research Institute for Computational Methods FI (Details)