sim_gig {bvhar} | R Documentation |
Generate Generalized Inverse Gaussian Distribution
Description
This function samples GIG(\lambda, \psi, \chi)
random variates.
Usage
sim_gig(num_sim, lambda, psi, chi)
Arguments
num_sim |
Number to generate |
lambda |
Index of modified Bessel function of third kind. |
psi |
Second parameter of GIG. Should be positive. |
chi |
Third parameter of GIG. Should be positive. |
Details
The density of GIG(\lambda, \psi, \chi)
considered here is as follows.
f(x) = \frac{(\psi / \chi)^(\lambda / 2)}{2 K_{\lambda}(\sqrt{\psi \chi})} x^{\lambda - 1} \exp(-\frac{1}{2} (\frac{\chi}{x} + \psi x))
where x > 0
.
References
Hörmann, W., Leydold, J. Generating generalized inverse Gaussian random variates. Stat Comput 24, 547-557 (2014).
Leydold, J, Hörmann, W.. GIGrvg: Random Variate Generator for the GIG Distribution. R package version 0.8 (2023).
[Package bvhar version 2.1.0 Index]