Inverse transform sampling: Difference between revisions

Revision as of 20:28, 30 July 2007

Revision as of 01:20, 31 July 2007

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:<math>= \Pr(U \leq F(x)) \!</math> &nbsp;&nbsp; (applying ''F'', which is [[monotonic function|monotonic]], to both sides)

:<math>= F(x) \!</math> &nbsp;&nbsp; (because <math>\Pr(U \leq y) = y</math>, since ''U'' is uniform on the unit interval)

== See also ==

* [[http://en.wikipedia.org/wiki/Copula_%28statistics%29Copula (statistics)|Copula]], defined by means of probability integral transform.

==References==

<references/>

== External links ==

* [http://www.financialmathematics.com/wiki/Conditional_copula_models#Definitions Probability integral transform] defining a conditional Copula.

[[Category:Monte Carlo methods]]

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[[fr:Méthode de la transformée inverse]]

[[ru:Метод обратного преобразования]]

== See also ==

[[http://en.wikipedia.org/wiki/Copula_%28statistics%29 Copula]] defined by means of probability integral transform.

== External links ==

* [http://www.financialmathematics.com/wiki/Conditional_copula_models#Definitions Probability integral transform] defining a conditional Copula.