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
Identifer | oai:union.ndltd.org:VIENNA/oai:epub.wu-wien.ac.at:epub-wu-01_f74 |
Date | January 2009 |
Creators | Leydold, Josef, Hörmann, Wolfgang |
Publisher | Department of Statistics and Mathematics, WU Vienna University of Economics and Business |
Source Sets | Wirtschaftsuniversität Wien |
Language | English |
Detected Language | English |
Type | Paper, NonPeerReviewed |
Format | application/pdf |
Relation | http://epub.wu.ac.at/1548/ |
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