Inverse transform sampling

Creator

Creator

Created

Created

2024 Nov 27 16:33

Editor

Editor

Edited

Edited

2024 Nov 27 16:43

Refs

Refs

inversion sampling, inverse probability integral transform

For distributions that have a tractable inverse

Compute
Cumulative Distribution Function

Generate random samples from
Uniform distribution

Inverse transform using to sample then

Proof

Inverse transform sampling

Inverse transform sampling is a basic method for pseudo-random number sampling, i.e., for generating sample numbers at random from any probability distribution given its cumulative distribution function.

Inverse transform sampling

https://en.wikipedia.org/wiki/Inverse_transform_sampling

Inverse transform sampling

Recommendations

//////////