NMath Reference Guide

## Reduced |

Instances of the ReducedVarianceInputCorrelator class are used to induce
a desired rank correlation among input variables.

Inheritance Hierarchy

SystemObject

CenterSpace.NMath.CoreInputVariableCorrelator

CenterSpace.NMath.CoreReducedVarianceInputCorrelator

CenterSpace.NMath.CoreInputVariableCorrelator

CenterSpace.NMath.CoreReducedVarianceInputCorrelator

Syntax

The ReducedVarianceInputCorrelator type exposes the following members.

Constructors

Name | Description | |
---|---|---|

ReducedVarianceInputCorrelator | Constructs a ReducedVarianceInputCorrelator instance. For internal use. | |

ReducedVarianceInputCorrelator(ReducedVarianceInputCorrelator) | Copy constructor. | |

ReducedVarianceInputCorrelator(Int32, DoubleMatrix) | Constructs an ReducedVarianceInputCorrelator instance for the given number of sample inputs and desired correlation matrix. | |

ReducedVarianceInputCorrelator(Int32, DoubleSymmetricMatrix) | Constructs an ReducedVarianceInputCorrelator instance for the given number of sample inputs and desired correlation matrix. |

Properties

Name | Description | |
---|---|---|

NumInputVariables |
Gets the number of input variables.
(Inherited from InputVariableCorrelator) | |

Rstar |
Gets the permuted score matrix which has been transformed to have the
desired correlation matrix.
(Inherited from InputVariableCorrelator) | |

SampleSize |
Gets the sample size of the input variables.
(Inherited from InputVariableCorrelator) |

Methods

Name | Description | |
---|---|---|

Clone |
Implementation of the ICloneable interface. Produces a deep copy of self.
(Overrides InputVariableCorrelatorClone) | |

ComputeR |
Computes the score matrix R according to the algorithm.
(Inherited from InputVariableCorrelator) | |

ComputeRstar |
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.
(Overrides InputVariableCorrelatorComputeRstar(Int32, Int32, DoubleSymmetricMatrix)) | |

GetCorrelatedInputs |
Constructs a matrix containing the input variables values re-ordered so as
to have the desried correlations.
(Inherited from InputVariableCorrelator) | |

GetScores |
Gets the scores contained in each column of the score matrix R in the algorithm.
(Inherited from InputVariableCorrelator) |

Fields

Name | Description | |
---|---|---|

indexPermutations_ |
numVariables X sampleSize matrix of index permutations.
For each i = 0,...numVariables-1 sortedIndices_[i] is
an array containing a permutation of the integers
j = 0,...,numVariables-1. This effectively specifies how
each input variables values must be reorded to achieve the
desired correlations.
(Inherited from InputVariableCorrelator) | |

intRng_ |
Random number generator. Used for shuffling.
(Inherited from InputVariableCorrelator) | |

numInputVariables_ |
The number of input variables.
(Inherited from InputVariableCorrelator) | |

Rstar_ |
The score matrix transformed to have the desired correlation matrix.
(Inherited from InputVariableCorrelator) | |

sampleSize_ |
The sample size.
(Inherited from InputVariableCorrelator) |

Remarks

The class ReducedVarianceInputCorrelator derives from class
InputVariableCorrelator and overrides one of the computational
steps in order to make the correlation matrix for the resulting
input varaibles more closely match the desired correlation. This
increase in accuracy comes from addtional computational expense.
use class ReducedVarianceInputCorrelator if higher accuracy
is needed and speed is not an issue.

See Also