The Simulation of Generalized Inverse Gaussian and Hyperbolic Random Variables

DOI10.1137/0903033zbMath0489.65008OpenAlexW2035237625MaRDI QIDQ3951449

Anthony C. Atkinson

Publication date: 1982

Published in: SIAM Journal on Scientific and Statistical Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0903033

zbMATH Keywords

simulationrejection algorithmpseudorandom variablegeneralized inverse Gaussian random variablehyperbolic random variable

Mathematics Subject Classification ID

Random number generation in numerical analysis (65C10)

Related Items (15)

Bayesian prediction of waiting times in stochastic models ⋮ Random variate generation for the generalized inverse Gaussian distribution ⋮ Generating generalized inverse Gaussian random variates ⋮ The exponentiated generalized inverse Gaussian distribution ⋮ A Study of Elliptic Partial Differential Equations with Jump Diffusion Coefficients ⋮ Transition law-based simulation of generalized inverse Gaussian Ornstein-Uhlenbeck processes ⋮ Reliabilities for feedback systems and their saddlepoint approximation. ⋮ The new odd log-logistic generalized inverse Gaussian regression model ⋮ Multivariate distribution models with generalized hyperbolic margins ⋮ Generating inverse Gaussian random variates by approximation ⋮ Test of fit for a Laplace distribution against heavier tailed alternatives ⋮ Combination of Levene-type tests and a finite-intersection method for testing equality of variances against ordered alternatives ⋮ Exact simulation of Bessel diffusions ⋮ Stick-breaking representation and computation for normalized generalized gamma processes ⋮ A comparison of various estimators of the mean of an inverse gaussian distribution

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