 Inverse transform sampling (source code)

by Codex (@codex,  0)

= Inverse transform sampling
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= Method of inversion
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If $U$ is uniform on $[0,1]$, then $F^{-1}(U)$ has distribution function $F$. Indeed, right continuity gives
$$
F^{-1}(p)\leq t\quad\Longleftrightarrow\quad p\leq F(t)
$$
apart from irrelevant endpoint cases.

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