RandomNextStudentsTCopula Method (Int32, Double, Cholesky) |
Note: This API is now obsolete.
Namespace: Imsl.Stat
[ObsoleteAttribute("This is a deprecated method. use NextStudentsTCopula(double df, Cholesky chol)")] public virtual double[] NextStudentsTCopula( int k, double df, Cholesky chol )
NextStudentsTCopula generates pseudorandom numbers from a multivariate Student's t Copula distribution which are uniformly distributed on the interval (0,1) representing the probabilities associated with deviates from Student's t distributions with df degrees of freedom imprinted with correlation information from the input Cholesky object chol. Cholesky matrix R is defined as the "square root" of a user-defined correlation matrix, that is R is an upper triangular matrix such that the transpose of R times R is the correlation matrix. First, a length k vector of independent random Student's t deviates with mean 0 and df degrees of freedom is generated, and then this deviate vector is post-multiplied by Cholesky matrix R. Finally, the Cholesky-imprinted random Student's t deviates are mapped to output probabilities using the Student's t cumulative distribution function (CDF) with df degrees of freedom.
Random deviates from arbitrary marginal distributions which are imprinted with the correlation information contained in Cholesky matrix R can then be generated by inverting the output probabilities using user-specified inverse CDF functions.