gigrnd

gigrnd samples a random variate from the GIG distribution

This random variate generator is a translation of the R package GIGrvg proposed by Hörmann and Leydold (2015). It provides a stable way to sample GIG distributed random numbers and is particularly useful for applications of e.g. the Bayesian shrinkage priors of Bitto and Frühwirth-Schnatter (2019).

References:
- Hörmann, W. and Leydold, J., 2014. Generating generalized inverse Gaussian random variates. Stat.Comput. 24, 547-557.
- Hörmann, W. and Leydold, J., 2015. GIGrvg: Random Variate Generator for the GIG Distribution. R package version 0.4.
- Bitto, A. and Frühwirth-Schnatter, S., 2019. Achieving shrinkage in a time-varying parameter model framework. Journal of Econometrics 210, 75-97.