Efficient procedure to generate generalized Gaussian noise using linear spline tools. (English) Zbl 1474.65028
Summary: In this paper, we propose a simple method to generate generalized Gaussian noises using the inverse transform of cumulative distribution. This inverse is expressible by means of the inverse incomplete Gamma function. Since the implementation of Newton’s method is rather simple, for approximating inverse incomplete Gamma function, we propose a better and new initial value exploiting the close relationship between the incomplete Gamma function and its piecewise linear interpolant. The numerical results highlight that the proposed method simulates well the univariate and bivariate generalized Gaussian noises.
MSC:
| 65D07 | Numerical computation using splines |
| 65D17 | Computer-aided design (modeling of curves and surfaces) |
| 41A15 | Spline approximation |
| 41A28 | Simultaneous approximation |
| 65D05 | Numerical interpolation |
Keywords:
generalized Gaussian noise; incomplete Gamma function ratios; weakly singular integrals; inversion of incomplete Gamma functions; linear spline interpolationSoftware:
DLMFReferences:
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