Resource title

Generating Generalized Inverse Gaussian Random Variates by Fast Inversion

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Resource description

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. (author´s abstract) ; Series: Research Report Series / Department of Statistics and Mathematics

Resource author

Josef Leydold, Wolfgang Hörmann

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Resource language

en

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application/pdf

Resource resource URL

http://epub.wu.ac.at/1548/1/document.pdf

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Adapt according to the license agreement. Always reference the original source and author.