Re: [問題] Inverse Probability Integral Transfo …
※ 引述《lookinforyou (Loving Kitty =))》之銘言：
: 1. Show that the inverse probability integral transformation for the
: exponential(theda) distribution is y = -(theda)ln(1-u)
: <f(y) = exp[-y/theda] / theda>
: 2. (continuation) If u is uniform(0, 1), deduce that -ln u is exponential(1)
: or gamma(1); and that -2ln u is chi square(2)
: 第一題我有導出來了 不過第二題一直想不出來...
: 麻煩各位高手了...謝謝
u-->uniform(0, 1)
let -ln u = t
u=e^(-t) du/dt=-e^(-t)
h(t)=f(u)|-e^(-t)|=e^(-t) ------>Exp(1)
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