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 3 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 (2023). gigrnd(P, a, b, sampleSize) (, MATLAB Central File Exchange. Retrieved .

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Created with R2015a
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Version Published Release Notes

-Fixed a problem with sampler when p < 0