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Convert a PDF to a CDF

Algorithm · Uber · Medium

You are given sampled points (x, y) from a continuous probability density function. The input is not guaranteed to be sorted, and duplicate x values or negative y values may occur. The points may represent breakpoints of a piecewise closed-form PDF, or they may be numeric samples from a PDF whose true support is finite or has been truncated from an infinite range. For every query value q, compute the cumulative distribution function $$F(q) = P(X \le q)$$. Process the samples…

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