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Generating Generalized Inverse Gaussian Random Variates by Fast Inversion

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. / Series: Research Report Series / Department of Statistics and Mathematics

Identiferoai:union.ndltd.org:VIENNA/oai:epub.wu-wien.ac.at:epub-wu-01_f74
Date January 2009
CreatorsLeydold, Josef, Hörmann, Wolfgang
PublisherDepartment of Statistics and Mathematics, WU Vienna University of Economics and Business
Source SetsWirtschaftsuniversität Wien
LanguageEnglish
Detected LanguageEnglish
TypePaper, NonPeerReviewed
Formatapplication/pdf
Relationhttp://epub.wu.ac.at/1548/

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