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385概率困难derivationlong

Box-Muller Transform: From Uniforms to Independent Normals

题目

Let U1,U2U_1, U_2 be independent Uniform(0,1)\operatorname{Uniform}(0,1) random variables. Define Z1=2lnU1cos(2πU2),Z2=2lnU1sin(2πU2).Z_1 = \sqrt{-2\ln U_1}\,\cos(2\pi U_2), \qquad Z_2 = \sqrt{-2\ln U_1}\,\sin(2\pi U_2).

(a) Compute the Jacobian of the inverse transformation from (Z1,Z2)(Z_1, Z_2) back to (U1,U2)(U_1, U_2).

(b) Show that Z1Z_1 and Z2Z_2 are independent N(0,1)N(0,1) random variables.

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你的答案

a