how could i change a random non-uniform distribution to a uniform distribution ? Is there a formula ? thanks .
+2
A:
Suppose you have samples from a random variable X with CDF function F_X. Then F_X(X) has a uniform distribution.
John D. Cook
2010-08-27 10:09:47
oh i see ...Did u mean F(X) = CDF and i need to find the F(X)square ?
Scheery
2010-08-28 10:51:39
or did i need to integrate F(X) by xd(x) ? thanks
Scheery
2010-08-28 11:05:41
No integration. Just take samples and stick them into F_X to make uniform samples. For example, the CDF of an exponential random variable is F(x) = 1 - exp(-x). If you take a bunch of samples x_i from an exponential distribution, the numbers F(x_i) have a uniform distribution.
John D. Cook
2010-08-28 12:56:15
Usually this theorem is applied the other way around: it's standard to generate uniform samples and then apply the *inverse* CDF of another distribution family to get samples from that distribution.
John D. Cook
2010-08-28 12:58:07
ok thanks a lot ^-^
Scheery
2010-08-29 12:06:35