Generating inverse Gaussian random variates by approximation
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Cites work
- scientific article; zbMATH DE number 53679 (Why is no real title available?)
- scientific article; zbMATH DE number 194933 (Why is no real title available?)
- scientific article; zbMATH DE number 914714 (Why is no real title available?)
- scientific article; zbMATH DE number 1390900 (Why is no real title available?)
- Algorithm 659
- Continuous random variate generation by fast numerical inversion
- Generating Random Variates Using Transformations with Multiple Roots
- Hyperbolic distributions in finance
- Intermediate rank lattice rules and applications to finance
- On the Inverse Gaussian Distribution Function
- Remark on algorithm 659
- The Simulation of Generalized Inverse Gaussian and Hyperbolic Random Variables
Cited in
(7)- Generating generalized inverse Gaussian random variates
- Generating random variates from PDF of Gauss-Markov processes with a reflecting boundary
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- Rejection-inversion to generate variates from monotone discrete distributions
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