KSLCore/ksl.utilities.random.rvariable/BVGaussianCopula

BVGaussianCopula

class BVGaussianCopula(val bvnCorrelation: Double, stream: RNStreamIfc = KSLRandom.nextRNStream()) : MVRVariable

Generates a bivariate Gaussian copula. (u_1, u_2)

Parameters

bvnCorrelation

is the correlation of the bivariate normal random variable. The resulting correlation for (u_1, u_2) may not match this supplied correlation.

Constructors

BVGaussianCopula

constructor(bvnCorrelation: Double, stream: RNStreamIfc = KSLRandom.nextRNStream())

Properties

advanceToNextSubStreamOption

open override var advanceToNextSubStreamOption: Boolean

If true, the stream will automatically participate in having its stream advanced to the next sub-stream via stream managers

open override var antithetic: Boolean

Tells the stream to start producing antithetic variates

val bvnCorrelation: Double

open override val dimension: Int

the expected size of the array from sample()

open override val id: Int

open override var label: String?

open override val name: String

var previous: DoubleArray

The last (previous) randomly generated value. This value does not change until the next randomly generated value is obtained

resetStartStreamOption

open override var resetStartStreamOption: Boolean

If true, the stream will automatically participate in having its stream reset to its start stream via stream managers

open override var rnStream: RNStreamIfc

rnStream provides a reference to the underlying stream of random numbers

open val streamNumber: Int

val value: DoubleArray

The randomly generated values. Each access to value will result in a new sample

Functions

advanceToNextSubStream

open override fun advanceToNextSubStream()

Positions the RNG at the beginning of its next substream

antitheticInstance

open override fun antitheticInstance(): MVRVariableIfc

open override fun instance(stream: RNStreamIfc): MVRVariableIfc

open fun instance(): MVRVariableIfc

fun previous(): DoubleArray

The last (previous) randomly generated value. This value does not change until the next randomly generated value is obtained

resetStartStream

open override fun resetStartStream()

The resetStartStream method will position the RNG at the beginning of its stream. This is the same location in the stream as assigned when the RNG was created and initialized.

resetStartSubStream

open override fun resetStartSubStream()

Resets the position of the RNG at the start of the current substream

open override fun sample(array: DoubleArray)

Fills the supplied array with a sample of values. This method avoids the creation of a new array. The size of the array must match dimension

open fun sample(): DoubleArray

open fun sample(values: Array<DoubleArray>)

Fills the supplied array of arrays with randomly generated samples

open fun sample(sampleSize: Int): List<DoubleArray>

Generates a list holding the randomly generated arrays of the given dimension. Thus, the elements of the list are the arrays holding the sampled values.

open fun sampleByColumn(sampleSize: Int): Array<DoubleArray>

Generates a sample by columns of values. The returned array will hold arrays of values, with each element being an array of size sampleSize. That is a 2-D array with nRows = dimension and nColumns = sample size

useStreamNumber

open fun useStreamNumber(streamNumber: Int)

Assigns the stream associated with the supplied number from the default RNStreamProvider

fun value(): DoubleArray

The randomly generated values. Each call to value() will result in a new sample