Package jdistlib

Class MultivariateNormal

java.lang.Object

jdistlib.MultivariateNormal

public final class MultivariateNormal
extends Object

Multivariate normal density and random generation using a covariance matrix.

Method Summary

Modifier and Type	Method	Description
static MultivariateProbabilityResult	cumulative(double[] upper, double[] mean, double[][] covariance)
static MultivariateProbabilityResult	cumulative(double[] upper, double[] mean, double[][] covariance, MultivariateProbabilityOptions options, RandomEngine random)	Computes P[X[i] <= upper[i] for every i].
static double	density(double[] x, double[] mean, double[][] covariance, boolean giveLog)
static double	equicoordinateQuantile(double p, double[] mean, double[][] covariance)
static double	equicoordinateQuantile(double p, double[] mean, double[][] covariance, MultivariateProbabilityOptions options, RandomEngine random)	Finds the scalar q satisfying P[X[i] <= q for every i] = p.
static MultivariateProbabilityResult	probability(double[] lower, double[] upper, double[] mean, double[][] covariance)	Deterministic convenience overload using call-local randomized shifts.
static MultivariateProbabilityResult	probability(double[] lower, double[] upper, double[] mean, double[][] covariance, MultivariateProbabilityOptions options, RandomEngine random)	Computes P[lower <= X <= upper] with numerical error metadata.
static double	radialQuantile(double p, int dimension, boolean lowerTail, boolean logProbability)	Quantile of the Mahalanobis radius containing probability p.
static double[]	random(double[] mean, double[][] covariance, RandomEngine random)
static double[][]	random(int n, double[] mean, double[][] covariance, RandomEngine random)

Methods inherited from class java.lang.Object

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

Method Details

density

public static double density(double[] x,
 double[] mean,
 double[][] covariance,
 boolean giveLog)

random

public static double[] random(double[] mean,
 double[][] covariance,
 RandomEngine random)

random

public static double[][] random(int n,
 double[] mean,
 double[][] covariance,
 RandomEngine random)

probability

public static MultivariateProbabilityResult probability(double[] lower,
 double[] upper,
 double[] mean,
 double[][] covariance,
 MultivariateProbabilityOptions options,
 RandomEngine random)

Computes P[lower <= X <= upper] with numerical error metadata.

probability

public static MultivariateProbabilityResult probability(double[] lower,
 double[] upper,
 double[] mean,
 double[][] covariance)

Deterministic convenience overload using call-local randomized shifts.

cumulative

public static MultivariateProbabilityResult cumulative(double[] upper,
 double[] mean,
 double[][] covariance,
 MultivariateProbabilityOptions options,
 RandomEngine random)

Computes P[X[i] <= upper[i] for every i].

cumulative

public static MultivariateProbabilityResult cumulative(double[] upper,
 double[] mean,
 double[][] covariance)

equicoordinateQuantile

public static double equicoordinateQuantile(double p,
 double[] mean,
 double[][] covariance,
 MultivariateProbabilityOptions options,
 RandomEngine random)

Finds the scalar q satisfying P[X[i] <= q for every i] = p. This is an equicoordinate quantile, not a general vector inverse CDF.

equicoordinateQuantile

public static double equicoordinateQuantile(double p,
 double[] mean,
 double[][] covariance)

radialQuantile

public static double radialQuantile(double p,
 int dimension,
 boolean lowerTail,
 boolean logProbability)

Quantile of the Mahalanobis radius containing probability p.