Inverse transform sampling: Difference between revisions

Revision as of 00:33, 17 December 2005

Revision as of 22:39, 15 January 2006

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

#Take ''x''_''chosen'' to be the random number drawn from the distribution described by d(''x'').

==References==

Luc Devroye. ''Non-Uniform Random Variate Generation''. New York: Springer-Verlag, 1986. ([http://cgm.cs.mcgill.ca/~luc/rnbookindex.html online]) ''See [http://cgm.cs.mcgill.ca/~luc/chapter_two.pdf chapter 2], section 2.''

[[Category:Sampling techniques]]