KSLCore/ksl.utilities.distributions/CentralMVNDistribution

CentralMVNDistribution

open class CentralMVNDistribution(covariances: Array<DoubleArray>, stream: RNStreamIfc = KSLRandom.nextRNStream()) : 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

stream

the stream for the sampler

Inheritors

CentralMVTDistribution

Constructors

CentralMVNDistribution

constructor(covariances: Array<DoubleArray>, stream: RNStreamIfc = KSLRandom.nextRNStream())

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