Sampling from GIG

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Sampling from GIG

lmescheder
Hi,
I've started using Julia for some machine learning tasks and love it so far.
Currently I need to sample from a generalized inverse Gaussian distribution [1], where p=1. However, it seems the Distribution is not implemented in the Distributions.jl package. Does anyone know if there exists an efficient implementation? If not, maybe someone knows an easy way how to implement a sampler myself? Of course I could try to use rejection sampling with a gamma distribution as proposal distribution, but maybe there is a better way.

Thanks in advance!
Lars

[1] https://en.wikipedia.org/wiki/Generalized_inverse_Gaussian_distribution
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Re: Sampling from GIG

jourdy345
This post has NOT been accepted by the mailing list yet.
I have been working with Bayesian Quantile regression model and needed to code GIG sampler in Julia. I'm not sure if you have already coded yourself but if you need it, I can send it to you so please let me know :)
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