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387概率简单derivationshort

Probability Integral Transform (Inverse CDF Method)

题目

Let FXF_X be a continuous, strictly increasing CDF and UUniform(0,1)U \sim \operatorname{Uniform}(0,1). Prove that Y=FX1(U)Y = F_X^{-1}(U) has CDF FXF_X.

Conversely, show that if XX has CDF FXF_X, then FX(X)Uniform(0,1)F_X(X) \sim \operatorname{Uniform}(0,1).

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