stat341 / CM 361

Computational Statistics and Data Analysis is a course offered at the University of Waterloo
Spring 2009
Instructor: Ali Ghodsi

Sampling (Generating Random numbers)

Inverse Transform Method

Step 1: Draw [math]\displaystyle{ U~ \sim~ Unif [0,1] }[/math].
Step 2: Compute [math]\displaystyle{ X = F^{-1}(U) }[/math].
Example:
Suppose we want to draw a sample from [math]\displaystyle{ f(x) = \lambda e^{-\lambda x} }[/math] where [math]\displaystyle{ x\gt 0 }[/math].
We need to first find [math]\displaystyle{ F(x) }[/math] and then [math]\displaystyle{ F^{-1} }[/math].

[math]\displaystyle{  F(x) = \int^x_0 \theta e^{-\theta u} du = 1 - e^{-\theta x}  }[/math] 

[math]\displaystyle{ F^{-1}(x) = \frac{-log(1-y)}{\theta} }[/math]
Now we can generate our random sample [math]\displaystyle{ i=1\dots n }[/math] from [math]\displaystyle{ f(x) }[/math] by:

[math]\displaystyle{ 1)\ u_i \sim UNIF(0,1)  }[/math]

[math]\displaystyle{ 2)\ x_i = \frac{-log(1-u_i)}{\theta}  }[/math]

The [math]\displaystyle{ x_i }[/math] are now a random sample from [math]\displaystyle{ f(x) }[/math].
The major problem with this approach is that we have to find [math]\displaystyle{ F^{-1} }[/math] and for many distributions it is too difficult to find the inverse of [math]\displaystyle{ F(x) }[/math].