Leydold, Josef and Hörmann, Wolfgang
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.
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)