GIGrvg (version 0.8)

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

Author

Josef Leydold and Wolfgang Hörmann.

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.

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)