Generating generalized inverse Gaussian random variates by fast inversion

The inversion method for generating non-uniformly distributed random variates is a crucial part in many applications of Monte Carlo techniques, e.g., when low discrepancy sequences or copula based models are used. Unfortunately, closed form expressions of quantile functions of important distribution...

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Veröffentlicht in:Computational statistics & data analysis 2011, Vol.55 (1), p.213-217
Hauptverfasser: Leydold, Josef, Hörmann, Wolfgang
Format: Artikel
Sprache:eng
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Zusammenfassung:The inversion method for generating non-uniformly distributed random variates is a crucial part in many applications of Monte Carlo techniques, e.g., when low discrepancy sequences or copula based models are used. Unfortunately, closed form expressions of quantile functions of important distributions are often not available. The (generalized) inverse Gaussian distribution is a prominent example. It is shown that algorithms that are based on polynomial approximation are well suited for this distribution. Their precision is close to machine precision and they are much faster than root finding methods like the bisection method that has been recently proposed.
ISSN:0167-9473
1872-7352
DOI:10.1016/j.csda.2010.07.011