Quotation 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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Publication's profile

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)
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