Inverse transform sampling: Difference between revisions

Revision as of 20:14, 19 August 2003

Revision as of 20:15, 19 August 2003

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Many [[programming language]]s have the ability to generate [[pseudorandom number sequence|pseudo-randomnumbers]] which are effectively distributed according to the standard [[uniform distribution]]. If a random variable has that distribution, then the probability of its falling within any subinterval (''a'', ''b'') of the interval from 0 to 1 is just the length ''b'' - ''a'' of that subinterval.

The '''Inverseinverse transform sampling method''' works as follows:

#Generate a random number from the standard uniform distribution; call this ''u''.

#Compute the value for ''x'' which has the associated cdf value ''u''; call this ''x''_''chosen''.

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[[image:inverse_transform_sampling.png]]

<center>'''Sampling using the Inverseinverse transform method'''</center>

=== See also ===

The [[Rejectionrejection sampling method]].