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gigrnd(P, a, b, sampleSize)

version (3.02 KB) by Statovic
Implementation of new Devroye algorithm for sampling from the GIG(p,a,b) distribution.


Updated 03 Nov 2017

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Implementation of the Devroye (2014) algorithm for sampling from the generalized inverse Gaussian (GIG) distribution.
L. Devroye
Random variate generation for the generalized inverse Gaussian distribution
Statistics and Computing, Vol. 24, pp. 239-246, 2014.

Cite As

Statovic (2021). gigrnd(P, a, b, sampleSize) (, MATLAB Central File Exchange. Retrieved .

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MATLAB Release Compatibility
Created with R2015a
Compatible with any release
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