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the last equality comes from the fact that for U uniform on [0, 1], its CDF satises:
1
Answer: Since X ∈ {1, 2, . . . , 6}, if k∈
/ {1, 2, . . . , 6}, then P(X = k) = 0. Now, let
k ∈ {1, 2, . . . , 6}, then
k−1 k 1
P(X = k) = P <U < = .
6 6 6
−1
Let Y be a random variable such that FY is invertible (FY exists). Consider the
random variable
X = FY−1 (U ).
Question: What is the distribution of X?
1 1
fY (x) = , x ∈ R.
π 1 + x2
The CDF of Y is
Z x
1 1 1 π
FY (x) = dt = arctan(x) + .
π −∞ 1 + t2 π 2
One has
1
FY (x) = u ⇐⇒ x = tan π(u − ) .
2
X = tan π(U − 12 ) ,
Conclusion: Consider then X has a Cauchy distribution.
2
(d) Simulation of arbitrary distribution (from a uniform on [0, 1])
Answer:
Lemma: For x∈R and u ∈ [0, 1], one has
1. −→ Compute F −1 .
2. −→ Simulate U uniform on [0, 1].
3. −→ Output X = F −1 (U ).
From the above analysis, X is a random variable with CDF F.
3
Xn
Thus each Xn is either 0, 1, . . . , m − 1 and the quantity
m
is taken as an approx-
imation to a uniform random variable on [0, 1]. It can be shown that subject to
suitable choices for a, c, m, the preceding gives rise to a sequence of numbers that
looks as if it were generated from independent random variables uniform on [0, 1].