Package org.drip.measure.gaussian

Class R1MultivariateNormal

java.lang.Object

org.drip.measure.continuous.RdDistribution

org.drip.measure.continuous.MetaRdDistribution

org.drip.measure.gaussian.R1MultivariateNormal

public class R1MultivariateNormal
extends MetaRdDistribution

R1MultivariateNormal contains the Generalized Joint Multivariate R¹ Normal Distributions.

• Module = Computational Core Module
• Library = Numerical Analysis Library
• Project = R^d Continuous/Discrete Probability Measures
• Package = R¹ R^d Covariant Gaussian Quadrature

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
R1MultivariateNormal(MetaRd 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 Variate Array
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(MetaRd 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.MetaRdDistribution

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

Methods inherited from class java.lang.Object

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

Constructor Details

R1MultivariateNormal

public R1MultivariateNormal(MetaRd 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(MetaRd 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: RdDistribution

Compute the Density under the Distribution at the given Variate Array

Specified by:

density in class RdDistribution

Parameters:

adblVariate - 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()

Description copied from class: MetaRdDistribution

Compute the Mean of the Distribution

Overrides:

mean in class MetaRdDistribution

Returns:

The Mean of the Distribution

variance

public double[] variance()

Description copied from class: MetaRdDistribution

Compute the Variance of the Distribution

Overrides:

variance in class MetaRdDistribution

Returns:

The Variance of the Distribution