Let F be a continuous distribution function and let U be a uniform (0, 1) random variable

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Let F be a continuous distribution function and let U be a uniform (0, 1) random variable

(a) If XF-(U), show that X has distribution function F.

(b) Show that log(U) is an exponential random variable with mean 1.

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Stochastic Processes

ISBN: 9780471120629

2nd Edition

Authors: Sheldon M. Ross

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