Relative errors (red line) and (green line) against for the CDF’s in Fig. 2. The very small relative errors of highlightits good performance. However, caution has to be used when considering the extreme right end of these diagrams. This is because the sample CDF is not an accurate estimate of FY(y) when this last is very close to one. Indeed, FY(y) → 1 only when y →∞ but with ymax being the greatest among the simulated random variable Y.
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