What is the most common practice of generating (X,Y) from an arbitrary CDF or PDF?

Question

What is the most common practice of generating (X,Y) from an arbitrary CDF or PDF?

Paw in Data

2020年10月23日 08:37

So I can generate X from arbitrary CDF F(x) by the procedure above. Can it be generalized to two variables? How, exactly? If not, what's the best way to generate (X,Y) from arbitrary CDF F(x,y) or PDF f(x,y)?

Topic monte-carlo probability sampling r

Category Data Science

mprouveur · Accepted Answer · 2020年10月23日 08:37

I am no expert in the field but I can imagine 3 different cases :

Variables are independent in which case you can use your formula on each
You have access to some chain rules decomposition that allows you to easily generate each variable one at a time using your formula
If none of the above : https://appsilon.com/how-to-sample-from-multidimensional-distributions-using-gibbs-sampling/

What is the most common practice of generating (X,Y) from an arbitrary CDF or PDF?

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