NatafGH: Solve the Nataf integral with the Gauss-Hermite integration...

In itsoukal/anySim: Stochastic Simulation of Processes with any Marginal Distribution and Correlation Structure

Description

Estimation of the resulting (i.e., in the actual domain) correlation coefficients, given the equivalent correlation coefficients (i.e., in the Gaussian domain).

Usage

NatafGH(rho, fx, fy, paramlistfx, paramlistfy, nodes = 21, prune = 0)

Arguments

rho	A scalar or vector of correlation coefficients (i.e., in seq(from=0, to=1, by=0.1)).
fx	A string indicating the quantile function of the distribution (i.e., the ICDF).
fy	A string indicating the quantile function of the distribution (i.e., the ICDF).
paramlistfx	A named list with the parameters of the distribution.
paramlistfy	A named list with parameters of the distribution.
nodes	A scalar indicating the number of nodes for Gauss-Hermite integration (default: nodes=21).
prune	A scalar in (0,1) indicating the percentage of pruning for Gauss-Hermite integration (default: nodes=0).

Value

A vector of correlation coefficients in the actual domain

Note

Avoid the use of this function, when the marginal(s) are discrete. This R function is based on the blog-post of Matthew S. Shotwell (https://biostatmatt.com/archives/2754).

Examples

## The case of two identrical Gamma distributions, with shape=1 and scale=1.
## Not run: 
fx=fy='qgamma'
pfx=pfy=list(shape=1, scale=1)
rhoz=seq(from=0, to=1 , by=0.05)
rhox=NatafGH(rho = rhoz, fx = fx, fy = fy, paramlistfx = pfx,
paramlistfy = pfy, nodes = 10, prune = 0)
plot(rhoz,rhox); abline(0,1)

## The case of two identrical zero-inflated (i.e., mixed) distributions,
with p0=0.7 a Gamma distribution
## for the continuous part with shape=1 and scale=1.

fx=fy='qzi'
pfx=pfy=list(Distr=qgamma, p0=0.7, shape=0.5, scale=1)
rhoz=seq(from=0, to=1 , by=0.05)
rhox=NatafGH(rho = rhoz, fx = fx, fy = fy, paramlistfx = pfx,
paramlistfy = pfy, nodes = 21, prune = 0)
plot(rhoz,rhox); abline(0,1)

## End(Not run)

itsoukal/anySim documentation built on May 7, 2020, 11:57 p.m.