correl-z

correl-z

correlated standard normal distribution random number generator

• Example • API • License

Example

var correlZ = require('correlZ'),
    randomZ = require('random-z'), // unit normal distribution random number generator
    cholesky = require('cholesky') // cholesky decomposition

var correlMatrix = [[1], [0.2, 1], [0.2, 0.2, 1]] // lower triangle is enough
    correlWeights = cholesky(correlMatrix),
    correlSeeders = correlWeights.map(correlZ) // array of random number generators

var iids = correlWeights.map(randomZ) // shared identically distributed variables

// all 3 results below are different but correlated, E=0, V=1, Cor(i,j) = 0.2
var x0 = correlSeeder[0](iids),
    x1 = correlSeeder[1](iids),
    x2 = correlSeeder[2](iids)

API

The module exports a single function that takes an array of linear factors or a key-factor object to be applied to shared standard normal Independent and identically distributed random_variables (iids) and returns a standard normal correlated random number generator.

Name	Type	Notes / Examples
correlZ	weights => randomFcn	rand = correlZ({2:0.1, 1:0.2})
weights	`Object	Array`
randomFcn	(iidZs [,selfZ]) => Number	Zi<1: sample = randomFcn({a:0.7, b:0.4})
iidZs	`Object	ArrayofzSeed`
selfZ	zSeed	optional standard normal seed for testing. Normally generated internally
zSeed	Number	standard normal random seed -1 < v < 1

Note that the linear iid weights can obtained from the correlation matrix with the cholesky module.

License

MIT © Hugo Villeneuve

Changelog

[2.0.0] - 2017-01-08

Changed

• Allow for named risks factors and seeds
• Now Works with objects in addition to arrays

Added

• CHANGELOG.md
• .editorconfig