Dist serial correl

Dist_serial_correl(x, r, i)

Generates an array y over index «i» where each y[i] has a marginal distribution identical to «x», and serial rank correlation of «r» with y[i-1].

If «x» is indexed by «i», each y[i] has the same marginal distribution as x[i], but with samples reordered to have the specified rank correlation «r» between successive values.

If «r» is indexed by «i», r[i = k] specifies the rank correlation between y[i = k] and y[i = k - 1]. Then the first correlation, r[i = 1], is ignored.

In Mid context, it returns Mid(x).

The result retains no probabilistic dependence on «x».


Multivariate Distributions library functions (Multivariate Distributions.ana)

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See Also


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