Posts Tagged ‘ inverse-cdf ’

Random variable generation (Pt 1 of 3)

November 28, 2010
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Random variable generation (Pt 1 of 3)

As I mentioned in a recent post, I’ve just received a copy of Advanced Markov Chain Monte Carlo Methods. Chapter 1.4 in the book (very quickly) covers random variable generation. Inverse CDF Method A standard algorithm for generating random numbers is the inverse cdf method. The continuous version of the algorithm is as follows: 1.

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