Generating generalized inverse Gaussian random variates by fast inversion
type: Item
instance of: scholarly article
title: Generating generalized inverse Gaussian random variates by fast inversion
zbMATH Open document ID: 1247.62046
author: Wolfgang Hörmann
author: Josef Leydold
published in: Computational Statistics and Data Analysis
publication date: 2012-09-15T00:00:00Z
Mathematics Subject Classification ID: 62E99
Mathematics Subject Classification ID: 65C10
Mathematics Subject Classification ID: 65C60
zbMATH DE Number: 6082968
zbMATH Keywords: generalized inverse Gaussian distribution
zbMATH Keywords: random variate generation
zbMATH Keywords: numerical inversion
describes a project that uses: R
describes a project that uses: QUADPACK
describes a project that uses: Runuran
describes a project that uses: GSL
describes a project that uses: UNU.RAN
MaRDI profile type: Publication
full work available at URL: j.csda.2010.07.011
OpenAlex ID: W2048860894
cites work: Q3331506
cites work: Random variate generation by numerical inversion when only the density is known
cites work: Continuous random variate generation by fast numerical inversion
cites work: An Accelerating Quasi-Monte Carlo Method for Option Pricing Under the Generalized Hyperbolic Lévy Process
cites work: Statistical properties of the generalized inverse Gaussian distribution
cites work: Generating inverse Gaussian random variates by approximation
cites work: Introduction to Numerical Analysis
cites work: Q4746719
DOI: 10.1016/J.CSDA.2010.07.011
description: scientific article; zbMATH DE number 6082968