# Inverse Transform Sampler

A method to draw samples of some univariate random variable $$X$$, assuming we know the inverse of its cumulative distribution function $$F_X$$, $$F^{-1}_X$$.

U = Uniform[0,1]
X = InverseCDF(U)


## Thoughts

• Proofs on Wikipedia, Murphy's PML book V2 and the "Non-uniform Random Variate Generation" textbook seem too vague, Jimmy Olsson spent a fair bit of time proving this rigorously, so need to check where the mismatch is.

Created: 2022-03-13 Sun 21:45

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