Does S or R have the pdf, cdf and quantile function for the Wald distribution
(also sometimes called the Inverse Gaussian distribution, amongst others it can
be derived as the first passage time distribution of a space and time
homogenous Weiner diffusion)?
The pdf can be expressed in terms of simple functions, and the cdf (p = F(x))
in terms of the normal cdf (Phi), so both can be computed easily. However, I
cant solve explicitly the cdf to get the quantile function (x = Q(p)), which
would provide a way to generate samples from the Wald (from 0-1 uniform samples
(u) using Q(u)).
Does anyone know a fast way to generate Wald samples? I could use numerical
methods to solve for Q(u), or simulate first passage times for a random walk
with small steps, but both will be rather slow.
Thanks
Associate Professor ANDREW HEATHCOTE
School of Behavioural Science Telephone
Building W, University Drive Area: 1-61-2
University of Newcastle Fax: 49216980
NSW, 2308, AUSTRALIA Office: 49215952
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