Probability Integral Transform Distribution - Quant Trader Interview Question
Difficulty: Medium
Category: Probability & Statistics
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Topics: probability, statistics, cdf, distribution, probability-integral-transform
Problem Description
Suppose you are given a continuous random variable $X$ with a cumulative distribution function (CDF) $F_X(x)$.
Define a new random variable $Y$ such that $Y = F_X(X)$. What is the distribution of $Y$?
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