KSLCore/ksl.utilities.random.rvariable/MVNormalRV/Companion

Companion

object Companion

Functions

choleskyDecomposition

fun choleskyDecomposition(covariances: Array<DoubleArray>): Array<DoubleArray>

convertToCorrelation

fun convertToCorrelation(covariances: Array<DoubleArray>): Array<DoubleArray>

convertToCovariance

fun convertToCovariance(stdDevs: DoubleArray, correlation: Array<DoubleArray>): Array<DoubleArray>

fun createRV(means: DoubleArray, stdDevs: DoubleArray, correlation: Array<DoubleArray>, stream: RNStreamIfc = KSLRandom.nextRNStream()): MVNormalRV

createStandardMVN

fun createStandardMVN(correlation: Array<DoubleArray>, stream: RNStreamIfc = KSLRandom.nextRNStream()): MVNormalRV

Creates a standard MVN with means 0.0 and variances 1.0, with the supplied correlation matrix.

isValidCorrelation

fun isValidCorrelation(correlation: Array<DoubleArray>): Boolean

isValidCovariance

fun isValidCovariance(covariances: Array<DoubleArray>): Boolean