inverse Gaussian distribution

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tclark
Posts: 99
Joined: Wed Nov 08, 2006 3:20 pm

inverse Gaussian distribution

Unread post by tclark »

Has anyone by chance worked out how to draw in RATS from an inverse Gaussian distribution? Drawing from this distribution shows up in Gibbs samplers for Bayesian quantile regression. Thanks.
Todd Clark
Economic Research Dept.
Federal Reserve Bank of Cleveland
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TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: inverse Gaussian distribution

Unread post by TomDoan »

That's a fairly straightforward function (attached). This is based on the Java code on the wikipedia page for the distribution.
Attachments
raninvgaussian.src
Procedure file for function
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tclark
Posts: 99
Joined: Wed Nov 08, 2006 3:20 pm

Re: inverse Gaussian distribution

Unread post by tclark »

Terrific -- thanks very much!
Todd Clark
Economic Research Dept.
Federal Reserve Bank of Cleveland
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