Extends the class NortaInitDisc and implements the algorithm NI2b. More...
Public Member Functions | |
| NI2b (double rX, DiscreteDistributionInt dist1, DiscreteDistributionInt dist2, double tr, int m, double delta) | |
Constructor with the target rank correlation rX, the two discrete marginals dist1 and dist2, the parameter for the truncation tr (see the constructor of class NortaInitDisc ), and the specific parameters m and \(\delta=\) delta for the algorithm NI2b, as described above. | |
| double | computeCorr () |
| Computes and returns the correlation \(\rho_Z\) using the algorithm NI2b. | |
| String | toString () |
 Public Member Functions inherited from NortaInitDisc | |
| NortaInitDisc (double rX, DiscreteDistributionInt dist1, DiscreteDistributionInt dist2, double tr) | |
Constructor with the target rank correlation rX, the two discrete marginals dist1 and dist2 and the parameter for the truncation tr. More... | |
| abstract double | computeCorr () |
| Computes and returns the correlation \(\rho_Z\). More... | |
| void | computeParams () |
| Computes the following inputs of each marginal distribution: More... | |
| double | integ (double r) |
| Computes the function. More... | |
| double | deriv (double r) |
| Computes the derivative of \(g_r\), given by. More... | |
| String | toString () |
Additional Inherited Members | |
| Protected Attributes inherited from NortaInitDisc | |
| double | rX |
| DiscreteDistributionInt | dist1 |
| DiscreteDistributionInt | dist2 |
| double | tr |
| double | mu1 |
| Package Attributes inherited from NortaInitDisc | |
| double | mu2 |
| double | sd1 |
| double | sd2 |
| int | m2 |
Detailed Description
Extends the class NortaInitDisc and implements the algorithm NI2b.
It is a variant of NI2a. It uses the derivative, so it calls the method deriv to compute the function \(g’_r\) given in ( grp_M ) and uses numerical integration with Simpson’s rules as well. But the integration grid is either in the interval \([0,1-\delta]\) or \([-1+\delta, 0]\), depending on the sign of \(r_X\). Here the number of subintervals of integration is fixed to \(m\) and the algorithm stops at iteration \(k\) if the root is in subinterval \([\rho_{k-1},\rho_k]\), and a quadratic interpolation is used to compute the solution. For this, the method #interpol of class umontreal.ssj.util.Misc (from package util of SSJ [155] ) is used.
The documentation for this class was generated from the following file:
- NI2b.java
