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Generation of Inverse Gaussian Variates with Given Sample Mean and Dispersion

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  • Russell C. H. Cheng

Abstract

A method is described for the computer generation of a random sample of inverse Gaussian variates with given sample mean and measure of dispersion. The method can be extended to produce samples from other distributions. This way of generating random samples is particularly useful when applying variance reduction methods such as those of antithetic variates or stratified sampling in a Monte Carlo simulation. For illustration, an application is described to an estimation problem connected with the Weibull or extreme‐value distribution.

Suggested Citation

  • Russell C. H. Cheng, 1984. "Generation of Inverse Gaussian Variates with Given Sample Mean and Dispersion," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 33(3), pages 309-316, November.
    • Handle: RePEc:bla:jorssc:v:33:y:1984:i:3:p:309-316
    DOI: 10.2307/2347708
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