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transforming the distribution of variables

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John
John 2012-4-4
Hello,
Would anybody know if there is a function in matlab to transform a continuous random variable x to a uniform distribution by using a cumulative distribution function (cdf) transformation?
http://en.wikipedia.org/wiki/Probability_integral_transform
Any comments and suggestions welcome.
Thank you
John

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Oleg Komarov
Oleg Komarov 2012-4-4
You can call cdf specifying the type of distribution or you can call directly the specific distribution function. For a list of supported cdfs: cumulative distributions.
An example:
x = randn(1000,1);
y = normcdf(x,0,1);
hist(y,100)
  2 个评论
John
John 2012-4-4
Hello Oleg,
Thank you for your reply.
So as I understand this, using the cdf function returns the cumulative distribution of the data of a specified distribution.
Would you know how I could use the cdf to then transform the continuous random variable to a uniform distribution?
Apologies if this sounds like a silly question, I only have basic statistics?
Thank you
John
Oleg Komarov
Oleg Komarov 2012-4-4
The Cumulative Distribution Function (CDF) maps some values into [0,1], i.e. uniform distribution on [0,1].

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