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A characterization of the generalized inverse Gaussian distribution by continued fractions

✍ Scribed by Gérard Letac; Vanamamalai Seshadri

Publisher
Springer
Year
1983
Tongue
English
Weight
161 KB
Volume
62
Category
Article
ISSN
1432-2064

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We describe a vectorizable implementation of a numerical inversion method to generate approximately Gaussian distributed random numbers. This method is, on the CRAY-YMP computer, several times faster than the standard Box-Muller-Wiener algorithm. The validity of the approximation is discussed. (1)