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How to implement MonteCarlo integration of probability density function to obtain CDF

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Poulomi Ganguli
Poulomi Ganguli on 11 Oct 2019
Commented: Poulomi Ganguli on 11 Oct 2019
I have a probability density function obtained from convolution process of two random variables. Hence, I don't have the functional form of the PDF. Now, I am interested to integrate the PDF numerically using Montecarlo method. I came across a few file exchage page, for example:
But above require functional form. Any suggestions/help how do I integrate the PDF using Montecarlo method to get corresponding CDF?


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Poulomi Ganguli
Poulomi Ganguli on 11 Oct 2019
I have tried with trapz method but I want to check the result using Monte Carlo method since using trapz the obtained CDF series sometimes less than 1.
John D'Errico
John D'Errico on 11 Oct 2019
Note that trapezoidal rule integration is not an EXACT integral. It is an approximation. The magnitude of the error will be impacted by the increment, generally larger for larger increments. So why are you surprised at the result?

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