Package jdistlib

Class GaussianCopula

java.lang.Object

jdistlib.GaussianCopula

All Implemented Interfaces:

Copula

public final class GaussianCopula
extends Object
implements Copula

Gaussian copula parameterized by a positive-definite correlation matrix.

Constructor Summary

Constructors

Constructor	Description
GaussianCopula(double[][] correlation)

Method Summary

Modifier and Type	Method	Description
static double[][]	correlationFromKendallsTau(double[][] tau)	Converts a Kendall tau matrix to its elliptical correlation matrix.
double	cumulative(double[] u)	Copula distribution function at u.
int	dimension()	Number of coordinates.
static GaussianCopula	fromKendallsTau(double[][] tau)	Constructs the Gaussian copula whose pairwise Kendall tau matrix is supplied.
double[][]	getCorrelation()
double	kendallsTau(int first, int second)	Kendall's tau for a coordinate pair.
double	logDensity(double[] u)	Natural logarithm of the copula density at an interior point.
double[]	random(RandomEngine random)	Generates one vector of dependent uniform variates.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface jdistlib.Copula

density, diagnose, kendallsTau, random, random, random

Constructor Details

GaussianCopula

public GaussianCopula(double[][] correlation)

Method Details

fromKendallsTau

public static GaussianCopula fromKendallsTau(double[][] tau)

Constructs the Gaussian copula whose pairwise Kendall tau matrix is supplied.

correlationFromKendallsTau

public static double[][] correlationFromKendallsTau(double[][] tau)

Converts a Kendall tau matrix to its elliptical correlation matrix.

dimension

public int dimension()

Description copied from interface: Copula

Number of coordinates.

Specified by:

dimension in interface Copula

getCorrelation

public double[][] getCorrelation()

cumulative

public double cumulative(double[] u)

Description copied from interface: Copula

Copula distribution function at u.

Specified by:

cumulative in interface Copula

logDensity

public double logDensity(double[] u)

Description copied from interface: Copula

Natural logarithm of the copula density at an interior point.

Specified by:

logDensity in interface Copula

random

public double[] random(RandomEngine random)

Description copied from interface: Copula

Generates one vector of dependent uniform variates.

Specified by:

random in interface Copula

kendallsTau

public double kendallsTau(int first,
 int second)

Description copied from interface: Copula

Kendall's tau for a coordinate pair.

Specified by:

kendallsTau in interface Copula