The Simulation of Generalized Inverse Gaussian and Hyperbolic Random Variables
Anthony C. Atkinson · SIAM Journal on Scientific and Statistical Computing · 1982
Computer algorithms are described for simulation of the generalized inverse Gaussian, generalized hyperbolic and hyperbolic distributions. The efficiencies of the algorithms are found. Timing comparisons with the best available algorithms for sampling the gamma distribution show the new algorithms to be acceptably fast. The extension to sampling multivariate generalized hyperbolic distributions is escribed. Listings of Fortran implementations of the algorithms are available.