sampling from a Gaussian
Summary
The transformation method can't be applied directly to sample from a Gaussian, since there's no closed form for the CDF. However, we can apply it using a simple trick.
Context
This concept has the prerequisites:
- Gaussian distribution
- multivariate Gaussian distribution (We sample from a univariate Gaussian by sampling from a multivariate Gaussian.)
- transformation method (This trick uses the transformation method.)
Core resources (we're sorry, we haven't finished tracking down resources for this concept yet)
Supplemental resources (the following are optional, but you may find them useful)
-Paid-
→ Pattern Recognition and Machine Learning
A textbook for a graduate machine learning course, with a focus on Bayesian methods.
Location:
Section 11.1.1, pages 526-528