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

Documentation

exponential_inv

Arguments

:: 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