Probability integral transform Created 2026-10-05 Updated 2026-10-06
If has a continuous cumulative distribution function , then has the uniform distribution on . Combined with inverse transform sampling, this constructs the monotone rearrangement to a target with quantile function .
Quantile derivative identity 2026-10-06
If is the quantile function of an absolutely continuous probability distribution with probability density function , then for almost every . Gaps in the support may give jumps in , so the identity concerns its ordinary almost-everywhere derivative. It follows by differentiating the inverse relation to the cumulative distribution function.