Let X have a continuous, strictly increasing CDF F. Let Y = F(X). Find the density of
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Let X have a continuous, strictly increasing CDF F. Let Y = F(X). Find the density of Y. This is called the probability integral transform. Now let U ti Uniform(0, 1) and let X = F-1(U). Show that X ti F. Now write a program that takes Uniform (0,1) random variables and generates random variables from an Exponential (/3) distribution.
Related Book For
Probability and Statistical Inference
ISBN: 978-0321923271
9th edition
Authors: Robert V. Hogg, Elliot Tanis, Dale Zimmerman
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