KSLCore/ksl.utilities.random.rvariable/MVGaussianCopulaRV

MVGaussianCopulaRV

class MVGaussianCopulaRV @JvmOverloads constructor(val marginals: List<InverseCDFIfc>, correlation: Array<DoubleArray>, streamNum: Int = 0, streamProvider: RNStreamProviderIfc = KSLRandom.DefaultRNStreamProvider, name: String? = null) : MVRVariable(source)

Defines a multi-variate Gaussian copula random variable

Parameters

marginals

the marginals for each dimension

correlation

the correlation between the marginals

streamNum

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

streamProvider

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

name

an optional name

Constructors

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@JvmOverloads
constructor(marginals: List<InverseCDFIfc>, correlation: Array<DoubleArray>, streamNum: Int = 0, streamProvider: RNStreamProviderIfc = KSLRandom.DefaultRNStreamProvider, name: String? = null)

Properties

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open override val dimension: Int

the expected size of the array from sample()

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Functions

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open override fun instance(streamNumber: Int, rnStreamProvider: RNStreamProviderIfc): MVGaussianCopulaRV