BVGaussian
class BVGaussianCopulaRV @JvmOverloads constructor(val marginal1: InverseCDFIfc, val marginal2: InverseCDFIfc, val bvnCorrelation: Double, streamNum: Int = 0, streamProvider: RNStreamProviderIfc = KSLRandom.DefaultRNStreamProvider, name: String? = null) : MVRVariable(source)
Uses a bivariate Gaussian copula to produce (u_1, u_2) and uses the generated (u_1, u_2) to generate (x_1, x_2) where x_1 is from marginal1 and x_2 is from marginal2. The joint distribution of (x_1, x_2) will have a correlation structure implied by the underlying bivariate Gaussian copula.
Parameters
bvn
is the correlation of the bivariate Gaussian copula. The resulting correlation for (x_1, x_2) may not match this supplied correlation.
stream
the random number stream number, defaults to 0, which means the next stream
stream
the provider of random number streams, defaults to KSLRandom.DefaultRNStreamProvider
name
an optional name
Constructors
Link copied to clipboard
constructor(marginal1: InverseCDFIfc, marginal2: InverseCDFIfc, bvnCorrelation: Double, streamNum: Int = 0, streamProvider: RNStreamProviderIfc = KSLRandom.DefaultRNStreamProvider, name: String? = null)
Functions
Link copied to clipboard
open override fun instance(streamNumber: Int, rnStreamProvider: RNStreamProviderIfc): MVRVariableIfc