s*****e
发帖数: 422 | 1 Need help on a homework question.
Please explain briefly if possible, thanks. | l*******n
发帖数: 13 | | s*****e
发帖数: 422 | 3 levislicn, thanks.
Let it be U.
U is between (0,1) because it's a CDF. U is continuous because a CDF of a
standard normal r.v. is continuous. OK for now.
If U is uniform(0,1), the density of U should be 1. But where should I get
this?
Thanks. | l*******n
发帖数: 13 | 4 Y=Fx(X) then 0
P(Y
= P(F^(-1)[Fx(X)] < Fx^(-1)(y))
= P(X < Fx(-1)(y))
= Fx(Fx^(-1)(y))
= y
No matter what the dist of X | s*****e
发帖数: 422 | 5 Thanks.
【在 l*******n 的大作中提到】
: Y=Fx(X) then 0: P(Y: = P(F^(-1)[Fx(X)] < Fx^(-1)(y))
: = P(X < Fx(-1)(y))
: = Fx(Fx^(-1)(y))
: = y
: No matter what the dist of X
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