GIGrvg-package {GIGrvg}R Documentation

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^(λ-1) e^(-(χ/x+ψ*x)/2)

Details

Package: GIGrvg
Type: Package
Version: 0.4.1
Date: 2017-06-08
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.

Author(s)

Josef Leydold josef.leydold@wu.ac.at and Wolfgang Hörmann.

References

Wolfgang Hörmann and Josef Leydold (2013). Generating generalized inverse Gaussian random variates, Statistics and Computing (to appear), DOI: 10.1007/s11222-013-9387-3

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)


[Package GIGrvg version 0.5 Index]