InputVariableCorrelatorComputeRstar Method

Computes the transformation of the score matrix R which has the desired correlations.

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

Syntax

protected virtual DoubleMatrix ComputeRstar(
	int numSamples,
	int numVariables,
	DoubleSymmetricMatrix desiredCorrelationMatrix
)

Protected Overridable Function ComputeRstar ( 
	numSamples As Integer,
	numVariables As Integer,
	desiredCorrelationMatrix As DoubleSymmetricMatrix
) As DoubleMatrix

protected:
virtual DoubleMatrix^ ComputeRstar(
	int numSamples, 
	int numVariables, 
	DoubleSymmetricMatrix^ desiredCorrelationMatrix
)

abstract ComputeRstar : 
        numSamples : int * 
        numVariables : int * 
        desiredCorrelationMatrix : DoubleSymmetricMatrix -> DoubleMatrix 
override ComputeRstar : 
        numSamples : int * 
        numVariables : int * 
        desiredCorrelationMatrix : DoubleSymmetricMatrix -> DoubleMatrix

Parameters

numSamples Int32: The number of samples.
numVariables Int32: The number of variables in each sample.
desiredCorrelationMatrix DoubleSymmetricMatrix: The desired correlation matrix.

Return Value

DoubleMatrix
Transformation of R having approximately the desired correlation matrix.

Reference

InputVariableCorrelator Class

CenterSpace.NMath.Core Namespace