Unformatted text preview: Y has any distribution G , then X = G ( Y ) will have a uniform distribution on [0,1]. F X ( x ) = P ( X x ) = P ( G ( Y ) x ) = P ( Y G1 ( x )) = G ( G1 ( x )) = x x 1 Which proves that X has a uniform distribution on [0,1]. How does it work? 1. (a) Find a random uniform observation, x * (b) G1 ( x * ) will be the random exponential observation we simulate. 2. (a) Find a random observation from any distribution, y * (b) G ( y * ) will be the random uniform [0,1] observation we simulate...
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This note was uploaded on 02/17/2012 for the course MATH 151 taught by Professor Jo.h during the Spring '10 term at Pomona College.
 Spring '10
 JO.H
 Real Numbers, Probability

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