Random variate generation for the generalized inverse Gaussian distribution |
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Authors: | Luc Devroye |
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Affiliation: | 1. School of Computer Science, McGill University, 3480 University Street, Montreal, Canada, H3A 2K6
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Abstract: | We provide a uniformly efficient and simple random variate generator for the entire parameter range of the generalized inverse Gaussian distribution. A general algorithm is provided as well that works for all densities that are proportional to a log-concave function φ, even if the normalization constant is not known. It requires only black box access to φ and its derivative. |
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