The Simulation of Generalized Inverse Gaussian and Hyperbolic Random Variables

DOI10.1137/0903033zbMath0489.65008MaRDI 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

simulation; rejection algorithm; pseudorandom variable; generalized inverse Gaussian random variable; hyperbolic random variable

Mathematics Subject Classification ID

65C10: Random number generation in numerical analysis

Related Items

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