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Lecture 12: Integration (54)
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This technique is called inverse transform sampling. More details: https://en.wikipedia.org/wiki/Inverse_transform_sampling#Intuitions. The trick behind the proof is the probability of X<=x is equal to the probability of T(U) <= x, which is equal to the probability of U <= T_inverse(x). ( let X = T(U), where U is uniform distribution and T is our desired transform ([0,1] -> R).

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