udig: UNU.RAN object for Inverse Gaussian distribution

In Runuran: R Interface to the 'UNU.RAN' Random Variate Generators

UNU.RAN object for Inverse Gaussian distribution

Description

Create UNU.RAN object for a Inverse Gaussian (Wald) distribution with mean mu and shape parameter lambda.

[Distribution] – Inverse Gaussian (Wald).

Usage

udig(mu, lambda, lb=0, ub=Inf)

Arguments

mu	mean (strictly positive).
lambda	shape parameter (strictly positive).
lb	lower bound of (truncated) distribution.
ub	upper bound of (truncated) distribution.

Details

The inverse Gaussian distribution with mean \mu and shape parameter \lambda has density

f(x) = \sqrt{\frac{\lambda}{2 \pi x^3} } \exp( -\frac{\lambda (x-\mu)^2}{2\mu^2 x} )

where \mu>0 and \lambda>0.

The domain of the distribution can be truncated to the interval (lb,ub).

Value

An object of class "unuran.cont".

Author(s)

Josef Leydold and Wolfgang H\"ormann [e-mail].

References

N.L. Johnson, S. Kotz, and N. Balakrishnan (1994): Continuous Univariate Distributions, Volume 1. 2nd edition, John Wiley & Sons, Inc., New York. Chap. 15, p. 259.

See Also

unuran.cont.

Examples

## Create distribution object for inverse Gaussian distribution
distr <- udig(mu=3, lambda=2)
## Generate generator object; use method PINV (inversion)
gen <- pinvd.new(distr)
## Draw a sample of size 100
x <- ur(gen,100)

Runuran documentation built on April 12, 2025, 1:35 a.m.