File:prob-inverse-transform.png

Figure file · Simulation

The inverse-transform method. A uniform draw U on the vertical axis is carried across to the graph of F and down to the horizontal axis, giving X=F^{-1}(U). Steep parts of F catch many values of U, so X lands there often: that is where the density is large.

The inverse-transform method. A uniform draw U on the vertical axis is carried across to the graph of F and down to the horizontal axis, giving X=F^{-1}(U). Steep parts of F catch many values of U, so X lands there often: that is where the density is large.

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Summary

Description. The inverse-transform method. A uniform draw U on the vertical axis is carried across to the graph of F and down to the horizontal axis, giving X=F^{-1}(U). Steep parts of F catch many values of U, so X lands there often: that is where the density is large.

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Made by. Drawn with Python and matplotlib from the example data. One script draws every figure in its section.

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