org.drip.measure.gaussian

Class R1MultivariateNormal

java.lang.Object

org.drip.measure.continuousjoint.R1Multivariate

org.drip.measure.gaussian.R1MultivariateNormal

public class R1MultivariateNormal
extends R1Multivariate

R1MultivariateNormal contains the Generalized Joint Multivariate R^1 Normal Distributions.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
R1MultivariateNormal(MultivariateMeta meta, double[] adblMean, Covariance covariance) R1MultivariateNormal Constructor

Method Summary

Modifier and Type	Method and Description
Covariance	covariance() Compute the Co-variance of the Distribution
double	density(double[] adblVariate) Compute the Density under the Distribution at the given Multivariate
double[]	mean() Compute the Mean of the Distribution
static R1MultivariateNormal	Standard(MultivariateMeta meta, double[] adblMean, double[][] aadblCovariance) Construct a Standard R1MultivariateNormal Instance
static R1MultivariateNormal	Standard(java.lang.String[] astrVariateID, double[] adblMean, double[][] aadblCovariance) Construct a Standard R1MultivariateNormal Instance
double[]	variance() Compute the Variance of the Distribution

Methods inherited from class org.drip.measure.continuousjoint.R1Multivariate

cumulative, densityRdToR1, expectation, incremental, leftEdge, meta, rightEdge

Methods inherited from class java.lang.Object

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

Constructor Detail

R1MultivariateNormal

public R1MultivariateNormal(MultivariateMeta meta,
                            double[] adblMean,
                            Covariance covariance)
                     throws java.lang.Exception

R1MultivariateNormal Constructor

Parameters:

meta - The R^1 Multivariate Meta Headers

adblMean - Array of the Univariate Means

covariance - The Multivariate Covariance

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Detail

Standard

public static final R1MultivariateNormal Standard(MultivariateMeta meta,
                                                  double[] adblMean,
                                                  double[][] aadblCovariance)

Construct a Standard R1MultivariateNormal Instance

Parameters:

meta - The R^1 Multivariate Meta Headers

adblMean - Array of the Univariate Means

aadblCovariance - The Covariance Matrix

Returns:

The Standard Normal Univariate Distribution

Standard

public static final R1MultivariateNormal Standard(java.lang.String[] astrVariateID,
                                                  double[] adblMean,
                                                  double[][] aadblCovariance)

Construct a Standard R1MultivariateNormal Instance

Parameters:

astrVariateID - Array of Variate IDs

adblMean - Array of the Univariate Means

aadblCovariance - The Covariance Matrix

Returns:

The Standard Normal Univariate Distribution

covariance

public Covariance covariance()

Compute the Co-variance of the Distribution

Returns:

The Co-variance of the Distribution

density

public double density(double[] adblVariate)
               throws java.lang.Exception

Description copied from class: R1Multivariate

Compute the Density under the Distribution at the given Multivariate

Specified by:

density in class R1Multivariate

Parameters:

adblVariate - The Multivariate at which the Density needs to be computed

Returns:

The Density

Throws:

java.lang.Exception - Thrown if the Density cannot be computed

mean

public double[] mean()

Description copied from class: R1Multivariate

Compute the Mean of the Distribution

Overrides:

mean in class R1Multivariate

Returns:

The Mean of the Distribution

variance

public double[] variance()

Description copied from class: R1Multivariate

Compute the Variance of the Distribution

Overrides:

variance in class R1Multivariate

Returns:

The Variance of the Distribution