GIGrvg-package: Generator and density for the Generalized Inverse Gaussian...

In GIGrvg: Random Variate Generator for the GIG Distribution

Generator and density for the Generalized Inverse Gaussian (GIG) distribution

Description

This package provides a generator and the density for the Generalized Inverse Gaussian (GIG) distribution. It uses the parametrization with density proportional to

f(x) = x^{\lambda-1} e^{-\frac{1}{2}(\chi/x+\psi x)}

Details

Package:	GIGrvg
Type:	Package
Version:	0.8
Date:	2023-03-22
License:	GPL 2 or later

Package GIGrvg provides two routines:

rgig

generates GIG distributed random variates. It is especially designed for the varying parameter case, i.e., for sample size n=1.

dgig

computes the density of the GIG distribution.

Note that the parameters of the distribution are assumed to be single values. If a vector is provided then just the first value is used!

For the very fast generation of large samples more efficient algorithms exists. We recommend package Runuran.

Author(s)

Josef Leydold [e-mail] and Wolfgang Hörmann.

References

Wolfgang Hörmann and Josef Leydold (2014). Generating generalized inverse Gaussian random variates, Statistics and Computing 24, 547–557, DOI: 10.1007/s11222-013-9387-3

See also Research Report Series / Department of Statistics and Mathematics Nr. 123, Department of Statistics and Mathematics, WU Vienna University of Economics and Business, https://research.wu.ac.at/en/publications/generating-generalized-inverse-gaussian-random-variates-3.

J. S. Dagpunar (1989). An easily implemented generalised inverse Gaussian generator, Comm. Statist. B – Simulation Comput. 18, 703–710.

Karl Lehner (1989). Erzeugung von Zufallszahlen für zwei exotische stetige Verteilungen, Diploma Thesis, 107 pp., Technical University Graz, Austria (in German).

Examples

## Draw a random sample
rgig(n=10, lambda=0.5, chi=0.1, psi=2)

## Evaluate the density
dgig(0.3, lambda=0.5, chi=0.1, psi=2)

GIGrvg documentation built on March 31, 2023, 11:39 p.m.