Package org.drip.measure.gaussian

Class R1MultivariateNormal

java.lang.Object
org.drip.measure.continuous.R1Multivariate
org.drip.measure.gaussian.R1MultivariateNormal
public class R1MultivariateNormal
extends R1Multivariate
R1MultivariateNormal contains the Generalized Joint Multivariate R1 Normal Distributions.

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

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

  • Method Summary

    Modifier and Type Method 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​(java.lang.String[] astrVariateID, double[] adblMean, double[][] aadblCovariance)
    Construct a Standard R1MultivariateNormal Instance
    static R1MultivariateNormal Standard​(MultivariateMeta meta, double[] adblMean, double[][] aadblCovariance)
    Construct a Standard R1MultivariateNormal Instance
    double[] variance()
    Compute the Variance of the Distribution

    Methods inherited from class org.drip.measure.continuous.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 Details

    • 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 Details

    • 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