NatafMC: Solve the Nataf integral with the Monte-Carlo method

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

NatafMC(rho, fx, fy, paramlistfx, paramlistfy, MCsize = 10^5)

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.
MCsize	A scalar determining the number of Monte-Carlo trials (default: 10^-5)

Value

A vector of correlation coefficients in the actual domain.

Examples

## The case of two identical 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=0.2)
rhoxMC=NatafMC(rho = rhoz, fx = fx, fy = fy, paramlistfx = pfx, paramlistfy = pfy)
plot(rhoz,rhoxMC, col='blue', pch=19); abline(0,1)
rhoxGH=NatafGH(rho = rhoz, fx = fx, fy = fy, paramlistfx = pfx, paramlistfy = pfy)
points(rhoz, rhoxGH, col='red', pch=5)

## The case identrical Bernoulli distributions, with size=1 and prob=0.3.

fx=fy='qbinom'
pfx=pfy=list(size=1, prob=0.3)
rhoz=seq(from=0, to=1 , by=0.2)
rhoxMC=NatafMC(rho = rhoz, fx = fx, fy = fy, paramlistfx = pfx, paramlistfy = pfy)
plot(rhoz,rhoxMC, col='blue', pch=19); abline(0,1)

## End(Not run)

## Not run: 
rhoxInt=NatafInt(rho = rhoz, fx = fx, fy = fy, paramlistfx = pfx, paramlistfy = pfy)
points(rhoz, rhoxInt, col='red', pch=5)

## End(Not run)

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