Package org.drip.measure.gaussian

Class R1MultivariateNormal

java.lang.Object

org.drip.measure.distribution.RdContinuous

org.drip.measure.state.LabelledRdContinuousDistribution

org.drip.measure.gaussian.R1MultivariateNormal

public class R1MultivariateNormal
extends LabelledRdContinuousDistribution

R1MultivariateNormal contains the Generalized Joint Multivariate R¹ Normal Distributions. It provides the following Functionality:

• Construct a Standard R1MultivariateNormal Instance #1
• Construct a Standard R1MultivariateNormal Instance #2
• R1MultivariateNormal Constructor
• Compute the Co-variance of the Distribution
• Compute the Density under the Distribution at the given Variate Array
• Compute the Mean of the Distribution
• Compute the Variance of the Distribution

Module	Computational Core Module
Library	Numerical Analysis Library
Project	Rd Continuous/Discrete Probability Measures
Package	R1 Covariant Gaussian Quadrature

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
R1MultivariateNormal(LabelledRd metaRd, double[] meanArray, JointVariance jointVariance)	R1MultivariateNormal Constructor

Method Summary

Modifier and Type	Method	Description
JointVariance	covariance()	Compute the Co-variance of the Distribution
double	density(double[] variateArray)	Compute the Density under the Distribution at the given Variate Array
double[]	mean()	Compute the Mean of the Distribution
static R1MultivariateNormal	Standard(java.lang.String[] variateIDArray, double[] meanArray, double[][] covarianceMatrix)	Construct a Standard R1MultivariateNormal Instance #2
static R1MultivariateNormal	Standard(LabelledRd metaRd, double[] meanArray, double[][] covarianceMatrix)	Construct a Standard R1MultivariateNormal Instance #1
double[]	variance()	Compute the Variance of the Distribution

Methods inherited from class org.drip.measure.state.LabelledRdContinuousDistribution

cumulative, densityRdToR1, dimension, expectation, incremental, leftEdgeArray, momentGeneratingFunction, rightEdgeArray, stateLabels

Methods inherited from class java.lang.Object

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

Constructor Details

R1MultivariateNormal

public R1MultivariateNormal(LabelledRd metaRd,
double[] meanArray,
JointVariance jointVariance)
                     throws java.lang.Exception

R1MultivariateNormal Constructor

Parameters:

metaRd - The R¹ Multivariate Meta Headers

meanArray - Array of the Univariate Means

jointVariance - The Multivariate Covariance

Throws:

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

Method Details

Standard

public static final R1MultivariateNormal Standard(LabelledRd metaRd,
double[] meanArray,
double[][] covarianceMatrix)

Construct a Standard R1MultivariateNormal Instance #1

Parameters:

metaRd - The R¹ Multivariate Meta Headers

meanArray - Array of the Univariate Means

covarianceMatrix - The Covariance Matrix

Returns:

The Standard Normal Univariate Distribution

Standard

public static final R1MultivariateNormal Standard(java.lang.String[] variateIDArray,
double[] meanArray,
double[][] covarianceMatrix)

Construct a Standard R1MultivariateNormal Instance #2

Parameters:

variateIDArray - Array of Variate IDs

meanArray - Array of the Univariate Means

covarianceMatrix - The Covariance Matrix

Returns:

The Standard Normal Univariate Distribution

covariance

public JointVariance covariance()

Compute the Co-variance of the Distribution

Returns:

The Co-variance of the Distribution

density

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

Compute the Density under the Distribution at the given Variate Array

Specified by:

density in class RdContinuous

Parameters:

variateArray - Variate Array at which the Density needs to be computed

Returns:

The Density

Throws:

java.lang.Exception - Thrown if the input is invalid

mean

public double[] mean()

Compute the Mean of the Distribution

Overrides:

mean in class LabelledRdContinuousDistribution

Returns:

The Mean of the Distribution

variance

public double[] variance()

Compute the Variance of the Distribution

Overrides:

variance in class LabelledRdContinuousDistribution

Returns:

The Variance of the Distribution