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Inverse Transform Sampling

Inverse Transform Sampling is a technique for generating random samples from any probability distribution using its cumulative distribution function (CDF). The process involves generating a uniform random variable and applying the inverse CDF to obtain samples from the desired distribution. This method is widely used in simulations and has advantages in simplicity and applicability to continuous distributions, but it can be computationally inefficient for certain cases.

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24 views2 pages

Inverse Transform Sampling

Inverse Transform Sampling is a technique for generating random samples from any probability distribution using its cumulative distribution function (CDF). The process involves generating a uniform random variable and applying the inverse CDF to obtain samples from the desired distribution. This method is widely used in simulations and has advantages in simplicity and applicability to continuous distributions, but it can be computationally inefficient for certain cases.

Uploaded by

mitrajeet3577
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Inverse Transform Sampling

Inverse Transform Sampling is a method for generating random samples from an


arbitrary probability distribution given its cumulative distribution function (CDF). It is
widely used in Monte Carlo simulations and statistical sampling.
Concept of Inverse Transform Sampling
The method is based on the property that if a random variable X follows a given
distribution, then its cumulative distribution function (CDF) transforms it into a uniform
distribution. Conversely, applying the inverse of the CDF to a uniform random variable
generates a sample from the desired distribution.
Steps for Inverse Transform Sampling
1. **Generate a Uniform Random Variable**
- Draw a random number U from a uniform distribution in the range (0,1], i.e., U ~
U(0,1).
2. **Apply the Inverse CDF Transformation**
- Compute X as:
X = F⁻¹(U)
where F⁻¹ is the inverse cumulative distribution function (also called the quantile
function) of the desired distribution.
3. **Obtain a Sample from the Target Distribution**
- The value X follows the desired probability distribution.
Mathematical Justification
Given a random variable X with CDF:
F(x) = P(X ≤ x)
we define a uniform random variable:
U = F(X) ~ U(0,1)
Since F(x) is monotonic, applying the inverse function:
X = F⁻¹(U)
ensures that X follows the desired distribution.
Example: Generating an Exponentially Distributed Random Variable
Suppose we want to sample from an **exponential distribution** with probability
density function (PDF):
f(x) = λ e^(-λx), x ≥ 0
The corresponding CDF is:
F(x) = 1 - e^(-λx)
To apply inverse transform sampling:
1. Generate U ~ U(0,1).
2. Solve for X using F⁻¹(U):
U = 1 - e^(-λX)
X = - (1/λ) ln(1 - U)
Since U ~ U(0,1), we can simplify using U' = 1 - U (which is also uniform), giving:
X = - (1/λ) ln(U)
Applications of Inverse Transform Sampling
- **Simulation & Monte Carlo Methods**: Generating random variables for probabilistic
modeling.
- **Computational Statistics**: Sampling from theoretical distributions for hypothesis
testing.
- **Econometrics & Finance**: Modeling asset returns and risk distributions.
- **Physics & Engineering**: Simulating random processes, such as radioactive decay
(exponential distribution).
Advantages & Limitations
Advantages
- Works for any **continuous** distribution if the inverse CDF can be computed.
- Simple to implement when the inverse CDF has an analytical form.
Limitations
- **Computational inefficiency**: If F⁻¹ does not have a closed-form solution, numerical
methods (e.g., Newton's method) may be required.
- **Does not work well for discrete distributions**, where rejection sampling or other
methods might be more efficient.

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