Generating Generalized Inverse Gaussian Random Variates by Fast Inversion

Josef Leydold, Wolfgang Hörmann

Publication: Working/Discussion PaperWU Working Paper

1 Downloads (Pure)

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 languageEnglish
Publication statusPublished - 1 Nov 2009

Publication series

NameResearch Report Series / Department of Statistics and Mathematics
No.95

WU Working Paper Series

  • Research Report Series / Department of Statistics and Mathematics

Cite this