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| Numeric.Random.Distribution.Exponential |
|
UNTESTED
Module for transforming a list of uniform random variables into a list of exponential random variables.
f(x) = lambda * exp(-lambda*x)
F(x) = 1 - exp(-lambda*x)
lambda = 1 / mu
Reference: Ross
| exponential_inv :: Double -> [Double] -> [Double] |
| :: Double | lambda |
| -> [Double] | U |
| -> [Double] | X |
Generates a list of exponential random variables from a list of uniforms via the inverse transformation method F(x) = 1 - exp(-lambda*x) F^-1(x) = -log(1 - x) / lambda | |