《Quantitative Analysis》精选题解析II

时间:2017-11-02 15:46 作者:FRM考试网 来源:原创

1.Suppose Rick Caldwell simulates a random value between 0 and 1 from a discrete cumulative probability distribution(CDF).Caldwell uses a random number generator between 0 and 1 in order to create the CDF,which takes on the value of 10 with a probability of 30%,the value of 20 with a probability of 35%,and the value of 50 with a probability of 35%.What is the corresponding value from the inverse CDF if the random number generated from the uniform distribution[0,1]is 0.59?
 
A.0.
 
B.10.
 
C.20.
 
D.50.
 
 
 
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Answer:C
 
The unit interval[0,1]on the y-axis,which represents the CDF,can be split into three segments based on the cumulative probabilities of 30%,65%,and 100%corresponding to values of 10,20,and 50.These three intervals are denoted as[0,0.3],(0.3,0.65],and(0.65,1.0].The random number that is generated(0.59)takes on a value of 20 because it is in the second interval(0.3,0.65].

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