For Generate Random Sample, the inverse Normal distribution (also known as the inverse Gaussian or Wald distribution) can be defined by its mean and variance. Both the mean and variance must be positive. The generated values are positive and unbounded. The name can be misleading: it is an “inverse” only in that, while the Gaussian describes a Brownian motion’s level at a fixed time, the inverse Normal describes the distribution of the time a Brownian motion with positive drift takes to reach a fixed positive level.
Updated on January 30, 2023