stat341 / CM 361

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

[math]\displaystyle{ Insert formula here }[/math]

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> f(x) = \lambda e^{-\lambda x} <\math>