An Easily Implemented Generalised Inverse Gaussian Generator

Using the 'ratio' method an easily implemented algorithm is derived for the generalised inverse Gaussian distribution. Computer timings and efficiency calculations show that the procedure is fast over a wide range of distribution parameter values.

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Bibliographische Detailangaben
Veröffentlicht in:	Communications in statistics. Simulation and computation 1989-01, Vol.18 (2), p.703-710
1. Verfasser:	Dagpunar, J.S.
Format:	Artikel
Sprache:	eng
Schlagworte:	'ratio' method diffusion Exact sciences and technology generalised inverse Gaussian distribution Mathematics Numerical analysis Numerical analysis. Scientific computation Numerical simulation random variate generation Sciences and techniques of general use simulation
Online-Zugang:	Volltext
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Beschreibung
Zusammenfassung:	Using the 'ratio' method an easily implemented algorithm is derived for the generalised inverse Gaussian distribution. Computer timings and efficiency calculations show that the procedure is fast over a wide range of distribution parameter values.
ISSN:	0361-0918 1532-4141
DOI:	10.1080/03610918908812785