| ReducedVarianceInputCorrelatorComputeRstar Method |
Computes the scores matrix transformed to match the desired correlation matrix.
uses a varaince reduction technique in which the transformation matrix is adjusted
so that the final sample correlation matrix will be much closer to the desired
correlation matrix, especially for correlation values of 0.
Namespace: CenterSpace.NMath.CoreAssembly: NMath (in NMath.dll) Version: 7.4
Syntax protected override DoubleMatrix ComputeRstar(
int numSamples,
int numVaraibles,
DoubleSymmetricMatrix desiredCorrelationMatrix
)
Protected Overrides Function ComputeRstar (
numSamples As Integer,
numVaraibles As Integer,
desiredCorrelationMatrix As DoubleSymmetricMatrix
) As DoubleMatrix
protected:
virtual DoubleMatrix^ ComputeRstar(
int numSamples,
int numVaraibles,
DoubleSymmetricMatrix^ desiredCorrelationMatrix
) override
abstract ComputeRstar :
numSamples : int *
numVaraibles : int *
desiredCorrelationMatrix : DoubleSymmetricMatrix -> DoubleMatrix
override ComputeRstar :
numSamples : int *
numVaraibles : int *
desiredCorrelationMatrix : DoubleSymmetricMatrix -> DoubleMatrix
Parameters
- numSamples Int32
- Sample size.
- numVaraibles Int32
- Number of variables in each sample.
- desiredCorrelationMatrix DoubleSymmetricMatrix
- Desired correlation matrix.
Return Value
DoubleMatrixSee Also