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).

Note: The result retains no probabilistic dependence on x.

Library

Multivariate Distributions.ana

See Also

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