Generating inverse Gaussian random variates by approximation
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Publication:961817
DOI10.1016/J.CSDA.2009.03.007zbMATH Open1454.62025OpenAlexW1984668033MaRDI QIDQ961817FDOQ961817
Authors: Yongzeng Lai 
Publication date: 1 April 2010
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2009.03.007
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Cites Work
- Algorithm 659
- Remark on algorithm 659
- Title not available (Why is that?)
- Hyperbolic distributions in finance
- Generating Random Variates Using Transformations with Multiple Roots
- Continuous random variate generation by fast numerical inversion
- Title not available (Why is that?)
- Title not available (Why is that?)
- Intermediate rank lattice rules and applications to finance
- On the Inverse Gaussian Distribution Function
- Title not available (Why is that?)
- The Simulation of Generalized Inverse Gaussian and Hyperbolic Random Variables
Cited In (7)
- Generation of Inverse Gaussian Variates with Given Sample Mean and Dispersion
- Rejection-inversion to generate variates from monotone discrete distributions
- Generating generalized inverse Gaussian random variates by fast inversion
- Generating random variates from PDF of Gauss-Markov processes with a reflecting boundary
- Random variate generation for the generalized inverse Gaussian distribution
- Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation
- Generating generalized inverse Gaussian random variates
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