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.Stats
Assembly:  NMathStats (in NMathStats.dll) Version: 3.4.0.0

Syntax

C#
public static DoubleMatrix CorrelatedRandomInputs(
	DoubleMatrix randomInputs,
	DoubleMatrix desiredCorrelations
)
Visual Basic (Declaration)
Public Shared Function CorrelatedRandomInputs ( _
	randomInputs As DoubleMatrix, _
	desiredCorrelations As DoubleMatrix _
) As DoubleMatrix
Visual C++
public:
static DoubleMatrix^ CorrelatedRandomInputs(
	DoubleMatrix^ randomInputs, 
	DoubleMatrix^ desiredCorrelations
)

Parameters

randomInputs
Type: CenterSpace.NMath.Core..::.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
Type: CenterSpace.NMath.Core..::.DoubleMatrix
A matrix containing the desired rank correlation matrix.

Return Value

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

See Also