Inverse transform sampling

Creator

Creator

Seonglae Cho

Created

Created

2024 Nov 27 16:33

Editor

Editor

Seonglae Cho

Edited

Edited

2025 Apr 29 0:39

Refs

Refs

Inversion 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.

Inverse transform sampling

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

Inverse transform sampling

Backlinks

Cumulative Distribution Function

Recommendations

//////////