stat341 / CM 361

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

[math]Insert formula here[/math]

Sampling (Generating Random numbers)

Inverse Transform Method

Step 1: Draw [math] U~ \sim~ Unif [0,1] [/math].
Step 2: Compute [math] X = F^{-1}(U) [/math].
Example:
Suppose we want to draw a sample from <math> f(x) = \lambda e^{-\lambda x} <\math>