Transformations of Uniform Deviates: General Methods
Sampling of random variates from a nonuniform distribution is usually done by applying a transformation to uniform variates. Each realization of the nonuniform random variable might be obtained from a single uniform variate or from a sequence of uniforms. Some methods that use a sequence of uniforms require that the sequence be independent; other methods use a random walk sequence, a Markov chain.
KeywordsMarkov Chain Cumulative Distribution Function Mass Point Discrete Distribution Multivariate Distribution
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