Random variate generation for the generalized inverse Gaussian distribution

DOI10.1007/S11222-012-9367-ZMaRDI QIDQ892467zbMATH OpenOpenAlexFDO

Authors Luc Devroye

Publication date 19 November 2015

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11222-012-9367-z

zbMATH Keywords

simulationexpected time analysisMonte Carlo methodrandom variate generation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Characterization and structure theory of statistical distributions (62E10)

Recommendations

• Generating generalized inverse Gaussian random variates
• A simple algorithm for generating random variates with a log-concave density
• Generating generalized inverse Gaussian random variates by fast inversion
• A simple universal generator for continuous and discrete univariate T-concave distributions
• Random variate generation by numerical inversion when only the density is known

Cites work

• scientific article; zbMATH DE number 2127973 (Why is no real title available?)
• scientific article; zbMATH DE number 3954145 (Why is no real title available?)
• scientific article; zbMATH DE number 3635287 (Why is no real title available?)
• scientific article; zbMATH DE number 2002843 (Why is no real title available?)
• A rejection technique for sampling from T -concave distributions
• A simple algorithm for generating random variates with a log-concave density
• A universal generator for discrete log-concave distributions
• Adaptive Rejection Sampling for Gibbs Sampling
• Generating Random Variates Using Transformations with Multiple Roots
• Generating inverse Gaussian random variates by approximation
• Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions
• Statistical properties of the generalized inverse Gaussian distribution
• The Simulation of Generalized Inverse Gaussian and Hyperbolic Random Variables
• Transformed density rejection with inflection points

Cited in

(19)

• Random variate generation for the truncated negative gamma distribution
• Generation of Inverse Gaussian Variates with Given Sample Mean and Dispersion
• A simple algorithm for generating random variates with a log-concave density
• Generalized Bayesian MARS: tools for stochastic computer model emulation
• Generating generalized inverse Gaussian random variates by fast inversion
• Universal methods for generating random variables with a given characteristic function
• Generating random variates from PDF of Gauss-Markov processes with a reflecting boundary
• Generating inverse Gaussian random variates by approximation
• Quantile regression in random effects meta-analysis model
• Point process simulation of generalised hyperbolic Lévy processes
• Efficient procedure to generate generalized Gaussian noise using linear spline tools
• boodist
• Point process simulation of generalised inverse Gaussian processes and estimation of the Jaeger integral
• Random variate generation by numerical inversion when only the density is known
• Modified Pólya-Gamma data augmentation for Bayesian analysis of directional data
• Comparing stochastic volatility specifications for large Bayesian VARs
• Generating generalized inverse Gaussian random variates
• Time-dependent shrinkage of time-varying parameter regression models
• The Modified-Half-Normal distribution: Properties and an efficient sampling scheme

Describes a project that uses

Uses Software

• AS 287
• ghyp

This page was built for publication: Random variate generation for the generalized inverse Gaussian distribution

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q892467)