Generating Generalized Inverse Gaussian Random Variates

Wolfgang Hörmann, Josef Leydold

Publication: Working/Discussion PaperWU Working Paper

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Abstract

The generalized inverse Gaussian distribution has become quite popular in financial engineering. The most popular random variate generator is due to Dagpunar (1989). It is an acceptance-rejection algorithm method based on the Ratio-of-uniforms method. However, it is not uniformly fast as it has a prohibitive large rejection constant when the distribution is close to the gamma distribution. Recently some papers have discussed universal methods that are suitable for this distribution. However, these methods require an expensive setup and are therefore not suitable for the varying parameter case which occurs in, e.g., Gibbs sampling. In this paper we analyze the performance of Dagpunar's algorithm and combine it with a new rejection method which ensures a uniformly fast generator. As its setup is rather short it is in particular suitable for the varying parameter case. (authors' abstract)
Original languageEnglish
Place of PublicationVienna
PublisherWU Vienna University of Economics and Business
Publication statusPublished - 2013

Publication series

NameResearch Report Series / Department of Statistics and Mathematics
No.123

WU Working Paper Series

  • Research Report Series / Department of Statistics and Mathematics

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