Scribd
Upload
10 views2 pages

RM Module 5 Notes

Uploaded by

PRANAV T V
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
10 views2 pages

RM Module 5 Notes

Uploaded by

PRANAV T V
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 2

Generating Random Samples Using Probability Integral Transformation

1. Concept of Probability Integral Transformation


- If X is a continuous random variable with cumulative distribution function (CDF) FX (x), then:

U = FX (X)

where U is uniformly distributed on [0, 1]. - Conversely, if U ∼ Uniform(0, 1), then the random variable:
−1
X = FX (U )

has the desired distribution FX (x).

2. Steps to Generate Random Samples


1. Understand the Target Distribution: Identify the CDF FX (x) of the target random variable.
2. Generate Uniform Random Numbers: Use a random number generator to produce U ∼ Uniform(0, 1).
−1 −1
3. Apply the Inverse CDF Transformation: Compute X = FX (U ), where FX is the inverse of the CDF. This
transformation ensures X follows the desired distribution.

3. Mathematical Foundation
−1
By the probability integral theorem, the transformation X = FX (U ) is valid because:
−1
P (X ≤ x) = P (FX (U ) ≤ x) = P (U ≤ FX (x)) = FX (x).

4. Example: Generating Exponential Random Variables


• Distribution: fX (x) = λe−λx , x ≥ 0, with CDF FX (x) = 1 − e−λx .
• Steps:
1. Generate U ∼ Uniform(0, 1).
2. Solve FX (x) = U :
1
1 − e−λx = U =⇒ x = − ln(1 − U ).
λ
3. Output X = − λ1 ln(1 − U ).

5. Applications
• Simulation of Random Variables: Widely used in Monte Carlo simulations to generate samples from arbitrary
distributions.
• Model Testing: To test theoretical models by generating data with known distributions.
• Bootstrapping: Generate samples to perform resampling for statistical inference.

6. Advantages
• Simple and effective for distributions with invertible CDFs.
• Does not require numerical integration or complex algorithms.

7. Limitations
• The method is limited to distributions with a closed-form or easily computable inverse CDF.
• For complicated distributions, alternative methods like the accept-reject algorithm or numerical approximations of
−1
FX are required.

1
8. R Implementation
R Code:

# Generating exponential random samples using probability integral transformation


set.seed(42) # For reproducibility

lambda <- 2 # Rate parameter


n <- 1000 # Number of samples

# Step 1: Generate uniform random numbers


U <- runif(n, min = 0, max = 1)

# Step 2: Transform using the inverse CDF


X <- -log(1 - U) / lambda

# Histogram of generated samples


hist(X, breaks = 30, main = "Generated Exponential Samples",
col = "lightblue", xlab = "x")

9. Generalization
For a multivariate distribution, the method can be extended if the joint CDF is available, but it becomes computa-
tionally challenging.

You might also like