Generating inverse Gaussian random variates by approximation

DOI10.1016/j.csda.2009.03.007zbMath1454.62025OpenAlexW1984668033MaRDI QIDQ961817

Yongzeng Lai

Publication date: 1 April 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2009.03.007

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Related Items (3)

Random variate generation for the generalized inverse Gaussian distribution ⋮ Generating generalized inverse Gaussian random variates by fast inversion ⋮ Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation

Uses Software

• TOMS659
• sobol.cc

Cites Work

• Intermediate rank lattice rules and applications to finance
• Hyperbolic distributions in finance
• Algorithm 659
• The Simulation of Generalized Inverse Gaussian and Hyperbolic Random Variables
• Generating Random Variates Using Transformations with Multiple Roots
• Continuous random variate generation by fast numerical inversion
• Remark on algorithm 659
• On the Inverse Gaussian Distribution Function
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