Nonlinear system inversion applied to random variable generation

A method to design random variable (RV) generators with the same probability density function (PDF) as a given RV record is presented. The resulting RV generator is a nonlinear system that when driven by a uniformly distributed RV, provides an output RV with the desired PDF distribution. The analytical description of the desired PDF is not needed; in fact, only a data record of the desired RV is used. Inversion of nonlinear systems and nonlinear system adaptive design are used.