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.
|Publication status||Published - 1 Nov 2009|
|Name||Research Report Series / Department of Statistics and Mathematics|
WU Working Paper Series
- Research Report Series / Department of Statistics and Mathematics