NMathFunctionsCorrelatedRandomInputs(DoubleMatrix, DoubleSymmetricMatrix) 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 marginal distributions are the same as the original inputs. InputVariableCorrelator

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

Syntax

C++

Copy

public static DoubleMatrix CorrelatedRandomInputs(
	DoubleMatrix inputs,
	DoubleSymmetricMatrix desiredCorrelations
)

Public Shared Function CorrelatedRandomInputs ( 
	inputs As DoubleMatrix,
	desiredCorrelations As DoubleSymmetricMatrix
) As DoubleMatrix

public:
static DoubleMatrix^ CorrelatedRandomInputs(
	DoubleMatrix^ inputs, 
	DoubleSymmetricMatrix^ desiredCorrelations
)

static member CorrelatedRandomInputs : 
        inputs : DoubleMatrix * 
        desiredCorrelations : DoubleSymmetricMatrix -> DoubleMatrix

Parameters

inputs 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 DoubleSymmetricMatrix: A symmetric 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