NMathFunctionsCorrelatedRandomInputs(DoubleMatrix, DoubleMatrix) Method

Accepts a set of input varaibles, each stored as a row in a matrix, and constructs a corresponding matrix of input variable values whose Spearmans rank correlation matrix is approximately equal to the specified correlation matrix. The resulting correlated inputs with their marginal distributions intact. InputVariableCorrelator

Namespace: CenterSpace.NMath.Core
Assembly: NMath (in NMath.dll) Version: 7.4

Syntax

C++

Copy

public static DoubleMatrix CorrelatedRandomInputs(
	DoubleMatrix randomInputs,
	DoubleMatrix desiredCorrelations
)

Public Shared Function CorrelatedRandomInputs ( 
	randomInputs As DoubleMatrix,
	desiredCorrelations As DoubleMatrix
) As DoubleMatrix

public:
static DoubleMatrix^ CorrelatedRandomInputs(
	DoubleMatrix^ randomInputs, 
	DoubleMatrix^ desiredCorrelations
)

static member CorrelatedRandomInputs : 
        randomInputs : DoubleMatrix * 
        desiredCorrelations : DoubleMatrix -> DoubleMatrix

Parameters

randomInputs DoubleMatrix: Inputs to be transformed to correlated inputs with approximately the specified rank correlation matrix. Each row of the matrix represents an input variable value.
desiredCorrelations DoubleMatrix: A matrix containing the desired rank correlation matrix.

Return Value

DoubleMatrix
A matrix containing the input variable values rearranged so that their rank correlation matrix is approximately equal to the desiredCorrelations

Reference

NMathFunctions Class

CorrelatedRandomInputs Overload

CenterSpace.NMath.Core Namespace