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inverse transformation method


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A general method for the simulation of observations of a continuous random variable X.

Let u be a pseudo-random number and let F be the distribution function of X. Then x, given by

x=F−1 (u),

is a random observation of X. For example, an exponential random variable X, with mean μ, has distribution function (1 − ex/μ); hence − μ ln (1−u) is an observation of X.

Subjects: Probability and Statistics.


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