Generating generalized inverse Gaussian random variates by fast inversion
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Publication:452560
DOI10.1016/j.csda.2010.07.011zbMath1247.62046OpenAlexW2048860894MaRDI QIDQ452560
Wolfgang Hörmann, Josef Leydold
Publication date: 15 September 2012
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2010.07.011
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Uses Software
Cites Work
- Generating inverse Gaussian random variates by approximation
- Statistical properties of the generalized inverse Gaussian distribution
- An Accelerating Quasi-Monte Carlo Method for Option Pricing Under the Generalized Hyperbolic Lévy Process
- Introduction to Numerical Analysis
- Continuous random variate generation by fast numerical inversion
- Random variate generation by numerical inversion when only the density is known
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