KSLCore/ksl.utilities.distributions/CentralMVNDistribution

CentralMVNDistribution

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

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

RootFunction

protected inner class RootFunction(confidLevel: Double = 0.95) : FunctionIfc

Properties

cdfCalculationStatistics

val cdfCalculationStatistics: Statistic

cdfIntegrationResults

val cdfIntegrationResults: String

cfL

protected val cfL: Array<DoubleArray>

covariances

protected val covariances: Array<DoubleArray>

integrator

protected var integrator: MCMultiVariateIntegration

mcIntegrationController

val mcIntegrationController: MCExperimentSetUpIfc

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

nDim

protected val nDim: Int

quantileFunction

val quantileFunction: CentralMVNDistribution.QuantileFunction

sampler

protected var sampler: MVRVariableIfc

Functions

computeCDF

protected open override fun computeCDF(): Double

Uses the Genz transform function for Monte-carlo evaluation of the integral. Accuracy depends on the sampling. Should be to about 2 decimal places with default settings.

genzFunction

protected fun genzFunction(u: DoubleArray): Double

sumProdLandY

protected fun sumProdLandY(r: Int, k: Int, y: DoubleArray): Double

toString

open override fun toString(): String