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Change of Variables

The starting point is always the uniform distribution \begin{equation*} p(x)dx=\left\{\begin{array}{cc} dx & 0 \le x \le 1\\ 0 & else\end{array}\right. \end{equation*} with p(x)=1 and satisfying \begin{equation*} \int_{-\infty}^{\infty}p(x)dx=1. \end{equation*} All random number generators use the uniform distribution to generate numbers x\in [0,1] .