Random variate generation for the generalized inverse Gaussian distribution

Authors:
Luc Devroye
Affiliations:
School of Computer Science, McGill University, Montreal, H3A 2K6 Canada
Venue:
Statistics and Computing
Year:
2014

Citing 2
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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 驴, even if the normalization constant is not known. It requires only black box access to 驴 and its derivative.