Quotation Leydold, Josef. 2012. Generating Generalized Inverse Gaussian Distributed Random Variates. Monte Carlo and Quasi-Monte Carlo Methods 2012, Sydney, Australien, 13.02.-17.02..


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Abstract

We discuss methods for sampling Generalized Inverse Gaussian (GIG) distributed random variates both in the fixed and in the varying parameter case. In particular we present a new algorithm for the varying parameter case. It is based on the acceptance-rejection method and has, different to all algorithms presented in the literature, a uniformly bounded rejection constant.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Paper presented at an academic conference or symposium
Language English
Title Generating Generalized Inverse Gaussian Distributed Random Variates
Event Monte Carlo and Quasi-Monte Carlo Methods 2012
Year 2012
Date 13.02.-17.02.
Country Australia
Location Sydney

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People
Leydold, Josef (Details)
Organization
Institute for Statistics and Mathematics IN (Details)
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