Click or drag to resize

ReducedVarianceInputCorrelator Class

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

Namespace:  CenterSpace.NMath.Core
Assembly:  NMath (in NMath.dll) Version: 7.3
Syntax
[SerializableAttribute]
public class ReducedVarianceInputCorrelator : InputVariableCorrelator

The ReducedVarianceInputCorrelator type exposes the following members.

Constructors
  NameDescription
Protected methodReducedVarianceInputCorrelator
Constructs a ReducedVarianceInputCorrelator instance. For internal use.
Protected methodReducedVarianceInputCorrelator(ReducedVarianceInputCorrelator)
Copy constructor.
Public methodReducedVarianceInputCorrelator(Int32, DoubleMatrix)
Constructs an ReducedVarianceInputCorrelator instance for the given number of sample inputs and desired correlation matrix.
Public methodReducedVarianceInputCorrelator(Int32, DoubleSymmetricMatrix)
Constructs an ReducedVarianceInputCorrelator instance for the given number of sample inputs and desired correlation matrix.
Top
Properties
  NameDescription
Public propertyNumInputVariables
Gets the number of input variables.
(Inherited from InputVariableCorrelator.)
Public propertyRstar
Gets the permuted score matrix which has been transformed to have the desired correlation matrix.
(Inherited from InputVariableCorrelator.)
Public propertySampleSize
Gets the sample size of the input variables.
(Inherited from InputVariableCorrelator.)
Top
Methods
  NameDescription
Public methodClone
Implementation of the ICloneable interface. Produces a deep copy of self.
(Overrides InputVariableCorrelatorClone.)
Protected methodComputeR
Computes the score matrix R according to the algorithm.
(Inherited from InputVariableCorrelator.)
Protected methodComputeRstar
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).)
Public methodGetCorrelatedInputs
Constructs a matrix containing the input variables values re-ordered so as to have the desried correlations.
(Inherited from InputVariableCorrelator.)
Protected methodGetScores
Gets the scores contained in each column of the score matrix R in the algorithm.
(Inherited from InputVariableCorrelator.)
Top
Fields
  NameDescription
Protected fieldindexPermutations_
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.)
Protected fieldintRng_
Random number generator. Used for shuffling.
(Inherited from InputVariableCorrelator.)
Protected fieldnumInputVariables_
The number of input variables.
(Inherited from InputVariableCorrelator.)
Protected fieldRstar_
The score matrix transformed to have the desired correlation matrix.
(Inherited from InputVariableCorrelator.)
Protected fieldsampleSize_
The sample size.
(Inherited from InputVariableCorrelator.)
Top
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