BENTH, FRED ESPEN; GROTH, MARTIN; KETTLER, PAUL C. - In: International Journal of Theoretical and Applied … 09 (2006) 06, pp. 843-867
We propose a quasi-Monte Carlo (qMC) algorithm to simulate variates from the normal inverse Gaussian (NIG) distribution. The algorithm is based on a Monte Carlo technique found in Rydberg [13], and is based on sampling three independent uniform variables. We apply the algorithm to three problems...
