Generating Generalized Inverse Gaussian Random Variates by Fast Inversion

Josef Leydold, Wolfgang Hörmann

Publikation: Working/Discussion PaperWU Working Paper

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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.
OriginalspracheEnglisch
PublikationsstatusVeröffentlicht - 1 Nov. 2009

Publikationsreihe

NameResearch Report Series / Department of Statistics and Mathematics
Nr.95

WU Working Paper Reihe

  • Research Report Series / Department of Statistics and Mathematics

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