npstat::CopulaInterpolationND Class Reference

#include <CopulaInterpolationND.hh>

Inheritance diagram for npstat::CopulaInterpolationND:

Public Member Functions
	CopulaInterpolationND (unsigned dim, unsigned nInterpolated)
virtual CopulaInterpolationND *	clone () const
bool	mappedByQuantiles () const
void	add (const AbsDistributionND &d, double weight)
void	replace (unsigned i, const AbsDistributionND &d, double weight)
void	setWeight (unsigned i, double weight)
void	clear ()
void	normalizeAutomatically (bool allow)
unsigned	size () const
double	density (const double *x, unsigned dim) const
void	unitMap (const double *rnd, unsigned dim, double *x) const
double	copulaDensity (const double *x, unsigned dim) const
double	productOfTheMarginals (const double *x, unsigned dim) const
double	marginalDensity (unsigned idim, double x) const
double	marginalCdf (unsigned idim, double x) const
double	marginalExceedance (unsigned idim, double x) const
double	marginalQuantile (unsigned idim, double x) const
virtual gs::ClassId	classId () const
Public Member Functions inherited from npstat::AbsInterpolationAlgoND
	AbsInterpolationAlgoND (const unsigned dim)
Public Member Functions inherited from npstat::AbsDistributionND
	AbsDistributionND (const unsigned dim)
	AbsDistributionND (const AbsDistributionND &r)
AbsDistributionND &	operator= (const AbsDistributionND &r)
bool	operator== (const AbsDistributionND &r) const
bool	operator!= (const AbsDistributionND &r) const
unsigned	dim () const
virtual unsigned	random (AbsRandomGenerator &g, double *x, unsigned lenX) const
virtual bool	write (std::ostream &) const

Static Public Member Functions
static const char *	classname ()
static unsigned	version ()
Static Public Member Functions inherited from npstat::AbsDistributionND
static const char *	classname ()
static unsigned	version ()
static AbsDistributionND *	read (const gs::ClassId &id, std::istream &)

Protected Member Functions
virtual bool	isEqual (const AbsDistributionND &) const

Additional Inherited Members
Protected Attributes inherited from npstat::AbsDistributionND
const unsigned	dim_

Detailed Description

This class interpolates multivariate statistical distributions decomposed into copula and marginals. Interpolation weights are to be calculated outside of this class.

Constructor & Destructor Documentation

CopulaInterpolationND()

npstat::CopulaInterpolationND::CopulaInterpolationND	(	unsigned	dim,
		unsigned	nInterpolated
	)

Constructor arguments are the dimensionality of the density and the number of terms in the weighted sum which represents the interpolated density. The terms are added to the sum later, by calling "add" or "replace" methods. At least "nInterpolated" distributions must be added by the "add" method before calling the "density" method.

Member Function Documentation

add()

void npstat::CopulaInterpolationND::add ( const AbsDistributionND &  d, double  weight  )

virtual

In this method, "d" must refer to a CompositeDistributionND object

Implements npstat::AbsInterpolationAlgoND.

classId()

virtual gs::ClassId npstat::CopulaInterpolationND::classId ( ) const

inlinevirtual

Method needed for "geners" I/O

Implements npstat::AbsDistributionND.

clear()

void npstat::CopulaInterpolationND::clear ( )

virtual

Clear all the terms in the weighted sum

Implements npstat::AbsInterpolationAlgoND.

clone()

virtual CopulaInterpolationND* npstat::CopulaInterpolationND::clone ( ) const

inlinevirtual

"Virtual copy constructor"

Implements npstat::AbsInterpolationAlgoND.

copulaDensity()

double npstat::CopulaInterpolationND::copulaDensity	(	const double *	x,
		unsigned	dim
	)		const

Interpolate the copula density

density()

double npstat::CopulaInterpolationND::density ( const double *  x, unsigned  dim  ) const

virtual

Interpolate the complete multivariate distribution

Implements npstat::AbsDistributionND.

mappedByQuantiles()

bool npstat::CopulaInterpolationND::mappedByQuantiles ( ) const

inlinevirtual

The following method should return "true" in case the "unitMap" method is implemented by a sequence of conditional quantile functions. Distributions with such maps permit quantile-based interpolation procedures.

Implements npstat::AbsDistributionND.

marginalDensity()

double npstat::CopulaInterpolationND::marginalDensity	(	unsigned	idim,
		double	x
	)		const

Interpolate the marginal distribution for dimension "idim"

normalizeAutomatically()

void npstat::CopulaInterpolationND::normalizeAutomatically ( bool  allow )

virtual

This method should be called to disable (and later enable) automatic weight normalization if you want to use the "setWeight" or "replace" methods many times and, especially, if at some point in this process the sum of the weights becomes zero. The "density" and "unitMap" methods can not be called if normalization is not enabled.

Implements npstat::AbsInterpolationAlgoND.

productOfTheMarginals()

double npstat::CopulaInterpolationND::productOfTheMarginals	(	const double *	x,
		unsigned	dim
	)		const

Interpolate the product of the marginals

setWeight()

void npstat::CopulaInterpolationND::setWeight ( unsigned  i, double  weight  )

virtual

Set the weight for the given term in the weighted sum

Implements npstat::AbsInterpolationAlgoND.

size()

unsigned npstat::CopulaInterpolationND::size ( ) const

inlinevirtual

The number of terms in the weighted sum

Implements npstat::AbsInterpolationAlgoND.

unitMap()

void npstat::CopulaInterpolationND::unitMap ( const double *  rnd, unsigned  bufLen, double *  x  ) const

virtual

Mapping from the unit hypercube into the density support region. Note that "bufLen" does not have to be equal to the dimensionality of the function. There may be an efficient way to generate just the leading dimensions in case "bufLen" is smaller than the dimensionality.

Implements npstat::AbsDistributionND.

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The documentation for this class was generated from the following file:

• stat/CopulaInterpolationND.hh