correl-z

correl-z

correlated standard normal distribution Z 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 to be applied to shared standard normal Independent and identically distributed random_variables (iids) and returns a standard normal correlated random number generator.

• correlZ(arrayOfLinearWeights) => randomNumberGenerator
• arrayOfLinearWeights: array linear factor for each iid
• randomNumberGenerator(iids[, zSeed]) => randomNumber
• iids: array of iid values
• zSeed: optional standard normal seed for testing. Normally generated internally

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

License

Released under the MIT License

Changelog

[1.0.0] - 2016-10-19

Added

• First publish