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.
Original language | English |
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Publication status | Published - 1 Nov 2009 |
Publication series
Name | Research Report Series / Department of Statistics and Mathematics |
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No. | 95 |
WU Working Paper Series
- Research Report Series / Department of Statistics and Mathematics