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243概率中等derivationmedium

Inverse Transform Sampling for the Exponential Distribution

题目

Let UUniform(0,1)U \sim \text{Uniform}(0, 1).

(a) For a continuous random variable XX with strictly increasing CDF FF, prove that F(X)Uniform(0,1)F(X) \sim \text{Uniform}(0,1).

(b) Use part (a) to argue that X=F1(U)X = F^{-1}(U) has CDF FF.

(c) For XExp(λ)X \sim \text{Exp}(\lambda) with CDF F(x)=1eλxF(x) = 1 - e^{-\lambda x} (x0x \geq 0), derive F1F^{-1} explicitly and write a one-line formula for generating exponential samples from uniform samples.

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