inverse transformation method

Show Summary Details

Quick Reference

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.

Reference entries

Users without a subscription are not able to see the full content. Please, subscribe or login to access all content.