| Random value generation from the Generalized Inverse Gaussian Distribution {NGBVS} | R Documentation |
Random value generation from the Generalized Inverse Gaussian Distribution
Description
Random value generation from the Generalized Inverse Gaussian (GIG) Distribution.
Usage
rgig(n = 10, lambda = 1, chi = 1, psi = 1)
Arguments
n |
Number of observations. |
lambda |
A shape and scale and parameter. |
chi |
Shape parameter. Must be positive. |
psi |
Scale parameter. Must be positive. |
Details
rgig uses the code from the GIG-random number generator from
the R package fBasics. I copied the code from the "ghyp" package
because it had not longer a maintainer.
Value
A vector with random values from the GIG distrigution.
Author(s)
David Luethi. Minor changes made by Abdulaziz Alenazi a.alenazi@nbu.edu.sa.
References
The algorithm for simulating generalized inverse gaussian variates is copied from the R package fBasics from Diethelm Wuertz.
Dagpunar, J.S. (1989). An easily implemented generalised inverse Gaussian generator. Communications in Statistics-Computation and Simulation, 18, 703–710.
Raible S. (2000). Levy Processes in Finance: Theory, Numerics and Empirical Facts, PhD Thesis, University of Freiburg, Germany, 161 pages.
Examples
x <- rgig(n = 10, lambda = 1, chi = 1, psi = 1)