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 |
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| creator | Leydold, Josef Hörmann, Wolfgang |
| description | 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. |
| doi_str_mv | 10.1016/j.csda.2010.07.011 |
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Scientific computation</subject><subject>Numerical inversion</subject><subject>Numerical methods in probability and statistics</subject><subject>Probability and statistics</subject><subject>Random variate generation</subject><subject>Sciences and techniques of general use</subject><subject>Statistics</subject><issn>0167-9473</issn><issn>1872-7352</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2011</creationdate><recordtype>article</recordtype><sourceid>X2L</sourceid><recordid>eNp9kE9P4zAQxS20SHSBL8Apl9WeUvwnyTQSF4R2CwiJC5ytiTMBV6nT9aSVyqdfh1YcOYzHGv3em9ET4krJuZKqul7NHbc41zINJMylUidiphagczCl_iFmCYK8LsCciZ_MKymlLmAxEw9LChRx9OEte_v89v6D2syHHUWmbIlbZo8hixjaYZ3tMHocibNmn3XI4xH0Q7gQpx32TJfHfi5e__55ubvPn56XD3e3T7lL28e80l3VFY1uanS6RIKiczpNCKCCpmmUAwM1KIQGjazaEmpZ1a5SiC22nTLn4vfBdxOHf1vi0a49O-p7DDRs2S6KuiiV1DKR-kC6ODBH6uwm-jXGvVXSTrHZlZ1is1NsVoJNsSXR40EUaUPuS0FEExrQ7qzBskzPPlVSqtR8qqlvppEyViuw7-M6mf063orssO9SiM7zl6k2Riu5gMTdHDhKwe08RcvOU3DU-khutO3gv7v5P4yNnPA</recordid><startdate>2011</startdate><enddate>2011</enddate><creator>Leydold, Josef</creator><creator>Hörmann, Wolfgang</creator><general>Elsevier B.V</general><general>Elsevier</general><scope>IQODW</scope><scope>DKI</scope><scope>X2L</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>7SC</scope><scope>8FD</scope><scope>JQ2</scope><scope>L7M</scope><scope>L~C</scope><scope>L~D</scope></search><sort><creationdate>2011</creationdate><title>Generating generalized inverse Gaussian random variates by fast inversion</title><author>Leydold, Josef ; Hörmann, Wolfgang</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c473t-62f6f4b2b9ac25ae74fc26f4e7767bbb1c737971a7ba306d579069c61aadadf13</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2011</creationdate><topic>Approximation</topic><topic>Computer simulation</topic><topic>Distribution theory</topic><topic>Exact sciences and technology</topic><topic>General topics</topic><topic>Generalized inverse Gaussian distribution</topic><topic>Generalized inverse Gaussian distribution Random variate generation Numerical inversion</topic><topic>Inverse</topic><topic>Inversions</topic><topic>Mathematical analysis</topic><topic>Mathematical models</topic><topic>Mathematics</topic><topic>Monte Carlo methods</topic><topic>Multivariate analysis</topic><topic>Numerical analysis</topic><topic>Numerical analysis. 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| ispartof | Computational statistics & data analysis, 2011, Vol.55 (1), p.213-217 |
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| source | RePEc; ScienceDirect Journals (5 years ago - present) |
| subjects | Approximation Computer simulation Distribution theory Exact sciences and technology General topics Generalized inverse Gaussian distribution Generalized inverse Gaussian distribution Random variate generation Numerical inversion Inverse Inversions Mathematical analysis Mathematical models Mathematics Monte Carlo methods Multivariate analysis Numerical analysis Numerical analysis. Scientific computation Numerical inversion Numerical methods in probability and statistics Probability and statistics Random variate generation Sciences and techniques of general use Statistics |
| title | Generating generalized inverse Gaussian random variates by fast inversion |
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