Seonglae ChoInversion sampling, inverse probability integral transform
Need to know the CDF analytically and have a tractable inverse .
- Compute Cumulative Distribution Function
- Generate random samples from Uniform distribution
- Inverse transform using to sample then
The distribution of the random variable is the same as .
Proof
First of all,
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.
https://en.wikipedia.org/wiki/Inverse_transform_sampling
