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Generating Generalized Inverse Gaussian Random Variates by Fast Inversion

Leydold, Josef and Hörmann, Wolfgang (2009) Generating Generalized Inverse Gaussian Random Variates by Fast Inversion. Research Report Series / Department of Statistics and Mathematics, 95. Department of Statistics and Mathematics, WU Vienna University of Economics and Business, Vienna.

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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. (author´s abstract)

Item Type: Paper
Keywords: generalized inverse Gaussian distribution / random variate generation / numerical inversion
Classification Codes: MSC 65C05, 65C10
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 19 Nov 2009 11:07
Last Modified: 26 Nov 2014 20:24
WU Online Catalog: http://onlinekatalog.wu.ac.at/F?func=find-b&reques...
URI: http://epub.wu.ac.at/id/eprint/1548

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