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58 views

Inverting probability generating function via mellin transform substitution.

The pgf is defined as: $E(z^k)= \sum_{k=0}^{\infty} p(k)z^k$ which is a discretised version of the transform: $\widetilde{p}(z) =\int_{-\infty}^{\infty} z^k p(k) \, \mathrm{d}k$ The Mellin ...
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4k views

What exactly is the Probability Integral Transform?

I've been going back over my notes from Stats class and came across the Probability Integral Transform. From my limited understanding, the basic idea is that from a cdf in terms of one variable, can ...