Category:Multivariate Distributions library functions

A library of multivariate distributions.

In a multivariate distribution, each sample is a vector. This vector is identified by an index, identified by the I parameter of the functions in this library. A Mid value from a distribution function will therefore be indexed by I, whlie a Sample from a distribution function is indexed by both I and Run. These distribution functions can also be used from within the Random function to generate a single monte-carlo sample, which will be indexed by I.

This library also contains functions for generating correlated distributions. Correlate_with, for example, allows you to generate a univarite distribution with an arbitrary marginal distribution that has a specified rank correlation with an arbitrary reference distribution. Several functions may be used for generating serial correlations, where each distribution along an index is correlated with the previous point along that index.