R1.2.1

KSLCore/ksl.utilities.distributions/CentralMVNDistribution

CentralMVNDistribution

open class CentralMVNDistribution(covariances: Array<DoubleArray>, streamNumber: Int = 0, streamProvider: RNStreamProviderIfc = KSLRandom.DefaultRNStreamProvider) : MVCDF

Represents a multi-variate normal distribution with means = 0.0 and the provided covariances. The computed CDF values are to about 2 decimal places using Monte-Carlo integration. There are more efficient and accurate methods to do this computation than done here.

Parameters

covariances

the variance-covariance matrix, must not be null, must be square and positive definite

streamNumber

the random number stream number, defaults to 0, which means the next stream

streamProvider

the provider of random number streams, defaults to KSLRandom.DefaultRNStreamProvider

Inheritors

CentralMVTDistribution

Constructors

CentralMVNDistribution

constructor(covariances: Array<DoubleArray>, streamNumber: Int = 0, streamProvider: RNStreamProviderIfc = KSLRandom.DefaultRNStreamProvider)

Types

QuantileFunction

inner class QuantileFunction : FunctionIfc

Properties

cdfCalculationStatistics

val cdfCalculationStatistics: Statistic

cdfIntegrationResults

val cdfIntegrationResults: String

val dimension: Int

the dimension of the MV distribution

mcIntegrationController

val mcIntegrationController: MCExperimentSetUpIfc

The user can use this to control the specification of the monte-carlo integration of the CDF.

quantileFunction

val quantileFunction: CentralMVNDistribution.QuantileFunction

Functions

fun cdf(upperLimit: Double): Double

The probability from -infinity to the upper limit, with the upper limit being the same for all dimensions

fun cdf(integrands: List<Interval>): Double

fun cdf(lowerLimits: DoubleArray, upperLimits: DoubleArray): Double

Evaluation of the integral. Accuracy should be about 7 decimal places

fun cdf(lower: Double, upper: Double): Double

Computes the CDF over the rectangular region

createIntegrationLimits

fun createIntegrationLimits(integrands: List<Interval>): Array<DoubleArray>

createIntervals

fun createIntervals(lowerLimit: Double, upperLimit: Double): List<Interval>

createLowerIntervals

fun createLowerIntervals(lowerLimit: Double): List<Interval>

The upper limit will be Double.POSITIVE_INFINITY

createUpperIntervals

fun createUpperIntervals(upperLimit: Double): List<Interval>

The lower limit will be Double.NEGATIVE_INFINITY

open override fun toString(): String