Random variate generation for the generalized inverse Gaussian distribution
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Publication:892467
DOI10.1007/S11222-012-9367-ZzbMATH Open1325.65021OpenAlexW1995049106MaRDI QIDQ892467FDOQ892467
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
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Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Characterization and structure theory of statistical distributions (62E10)
Cites Work
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- Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions
- Adaptive Rejection Sampling for Gibbs Sampling
- Statistical properties of the generalized inverse Gaussian distribution
- Generating Random Variates Using Transformations with Multiple Roots
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- A simple algorithm for generating random variates with a log-concave density
- Generating inverse Gaussian random variates by approximation
- A universal generator for discrete log-concave distributions
- The Simulation of Generalized Inverse Gaussian and Hyperbolic Random Variables
- A rejection technique for sampling from T -concave distributions
- Title not available (Why is that?)
- Transformed density rejection with inflection points
Cited In (19)
- boodist
- 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
- Quantile regression in random effects meta-analysis model
- Point process simulation of generalised hyperbolic Lévy processes
- Generating random variates from PDF of Gauss-Markov processes with a reflecting boundary
- Generating inverse Gaussian random variates by approximation
- Efficient procedure to generate generalized Gaussian noise using linear spline tools
- 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
Uses Software
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