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**Identity****Member**- Registered: 2007-04-18
- Posts: 934

Say you have a pdf

and you have (for example) and you wanted to find , what does this change of variables actually achieve, and how are you meant to interpret the result? I've read over it but I don't really get the concept.Offline

**juriguen****Member**- Registered: 2009-07-05
- Posts: 59

Hi!

If you would like to understand HOW to calculate f(y), from Wikipedia [http://en.wikipedia.org/wiki/Probability_density_function]:

The probability contained in a differential area must be invariant under change of variables y = g(x)

This was for the simple case of a monotonic function g. There is a general expression in Wikipedia as well.

If you would like to know WHAT does it mean, I can only provide an example: Random Number Generation. Rather than explaining it myself, I think this other article will be useful [http://en.wikipedia.org/wiki/Inverse_transform_sampling]

Jose

Make everything as simple as possible, but not simpler. -- Albert Einstein

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