For Generation random number for a given Distribution, You can apply MINITAB 17 software as attached Picture. By this approach you can simulate many random value that have given Distribution. But for two or more variables you can use this approach separately, if they don’t have any dependency or correlation.

Note that if variables have any correlation, at first it is necessary that you change the space by one of Cholesky Decomposition Method or Eigen Vector Method and then in new space that variables are independent, you can simulate separately value for all variables.

The R library ghyp allow you to generate random number around a generalised hyperbolic distribution using rghyp function.

https://cran.r-project.org/web/packages/ghyp/index.html

Try Minitab software version 16. It is user friendly since you are a beginner.

For Generation random number for a given Distribution, You can apply MINITAB 17 software as attached Picture. By this approach you can simulate many random value that have given Distribution. But for two or more variables you can use this approach separately, if they don’t have any dependency or correlation.

Note that if variables have any correlation, at first it is necessary that you change the space by one of Cholesky Decomposition Method or Eigen Vector Method and then in new space that variables are independent, you can simulate separately value for all variables.

My experience dealing with data generation of a gh-distribution, is to first generate random normal data and then fit it into the gh-distribution that you desire.

However this approach requires some coding where you have to link up the separate codes instead of calling a built-in function.

1) You must first code the random normal code:-

     i) using R programming

        rnorm(no. of generation)

    ii) using SAS-IML coding

        rannor(no. of generation)

2) code the formula of gh-distribution leaving g- and h- as variable which you can change from time to time.

3) call the gh- function and fit your generated normal data into the gh-

Thank you everyone for the guidance! =)