Jump to content

Probability integral transform

From Wikipedia, the free encyclopedia

This is an old revision of this page, as edited by GSpeight (talk | contribs) at 19:05, 12 December 2006 (←Created page with 'In Statistics, the probability integral transform is a result that can be used to simulate values of a random variable X using a computer. If one can generate rando...'). The present address (URL) is a permanent link to this revision, which may differ significantly from the current revision.

(diff) ← Previous revision | Latest revision (diff) | Newer revision → (diff)

In Statistics, the probability integral transform is a result that can be used to simulate values of a random variable X using a computer. If one can generate random real numbers in the interval [0,1] then the observed values can be transformed to follow the required distribution.

Formally,

Let X have continuous cdf $F_{X}(x)$

Retrieved from "https://en.wikipedia.org/w/index.php?title=Probability_integral_transform&oldid=93869371"