MVGaussian
class MVGaussianCopula @JvmOverloads constructor(correlation: Array<DoubleArray>, streamNum: Int = 0, streamProvider: RNStreamProviderIfc = KSLRandom.DefaultRNStreamProvider, name: String? = null) : MVRVariable(source)
Generations d-dimensional Gaussian copula, where the supplied correlation matrix is the correlation for the underlying multi-variate normal. Copulas generate correlated uniform random variates which can then be transformed. This defines the dependence in terms of an underlying Gaussian distribution (multi-variate normal distribution with the supplied correlation structure)
Parameters
correlation
the correlation between the marginals
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
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constructor(correlation: Array<DoubleArray>, streamNum: Int = 0, streamProvider: RNStreamProviderIfc = KSLRandom.DefaultRNStreamProvider, name: String? = null)
Functions
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open override fun instance(streamNumber: Int, rnStreamProvider: RNStreamProviderIfc): MVGaussianCopula