gigrnd(P, a, b, sampleSize)

Version 1.1.0.0 (3.02 KB) by Statovic
Implementation of new Devroye algorithm for sampling from the GIG(p,a,b) distribution.
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Updated 3 Nov 2017

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

Cite As

Statovic (2024). gigrnd(P, a, b, sampleSize) (https://www.mathworks.com/matlabcentral/fileexchange/53594-gigrnd-p-a-b-samplesize), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2015a
Compatible with any release
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Version Published Release Notes
1.1.0.0

-Fixed a problem with sampler when p < 0
1.0.0.0