Inverse Transform Sampler
A method to draw samples of some univariate random variable \(X\), assuming we know the inverse of its cumulative distribution function \(F_X\), \(F^{-1}_X\).
U = Uniform[0,1] X = InverseCDF(U)
A method to draw samples of some univariate random variable \(X\), assuming we know the inverse of its cumulative distribution function \(F_X\), \(F^{-1}_X\).
U = Uniform[0,1] X = InverseCDF(U)