Generating Generalized Inverse Gaussian Random Variates by Fast Inversion

Josef Leydold; Wolfgang Hörmann

Generating Generalized Inverse Gaussian Random Variates by Fast Inversion

Publication: Working/Discussion Paper › WU Working Paper

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
Publication status	Published - 1 Nov 2009

Publication series

Name	Research Report Series / Department of Statistics and Mathematics
No.	95

WU Working Paper Series

Research Report Series / Department of Statistics and Mathematics

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