Class GaussianCopulaPolicy

Gaussian Latent Model's copula policy. Its simplicity is a result of the convolution stability of the Gaussian distribution.

This is the only case that would have allowed the policy to be static, but other copulas will need parameters and initialization.

Hierarchy

GaussianCopulaPolicy

Index

Type aliases

initTraits

Properties

Methods

Type aliases

Static initTraits

initTraits: Integer

Properties

Private _numFactors

_numFactors: Size

Static _cumulative

_cumulative: CumulativeNormalDistribution = new CumulativeNormalDistribution()

Static _density

_density: NormalDistribution = new NormalDistribution()

Methods

allFactorCumulInverter

allFactorCumulInverter(probs: Real[]): Real[]

- Defined in ql/experimental/math/gaussiancopulapolicy.ts:70
Parameters
- probs: Real[]
Returns Real[]

cumulativeY

cumulativeY(val: Real, iVariable: Size): Probability

- Defined in ql/experimental/math/gaussiancopulapolicy.ts:42
Parameters
- val: Real
- iVariable: Size
Returns Probability

cumulativeZ

cumulativeZ(z: Real): Probability

- Defined in ql/experimental/math/gaussiancopulapolicy.ts:46
Parameters
- z: Real
Returns Probability

density

density(m: Real[]): Probability

- Defined in ql/experimental/math/gaussiancopulapolicy.ts:50
Parameters
- m: Real[]
Returns Probability

getInitTraits

getInitTraits(): Integer

- Defined in ql/experimental/math/gaussiancopulapolicy.ts:38
Returns Integer

init

init(factorWeights?: Real[][], dummy?: Integer): GaussianCopulaPolicy

- Defined in ql/experimental/math/gaussiancopulapolicy.ts:18
Parameters
- Default value factorWeights: Real[][] = [[]]
- Default value dummy: Integer = null
Returns GaussianCopulaPolicy

inverseCumulativeDensity

inverseCumulativeDensity(p: Probability, iFactor: Size): Real

- Defined in ql/experimental/math/gaussiancopulapolicy.ts:66
Parameters
- p: Probability
- iFactor: Size
Returns Real

inverseCumulativeY

inverseCumulativeY(p: Probability, iVariable: Size): Real

- Defined in ql/experimental/math/gaussiancopulapolicy.ts:58
Parameters
- p: Probability
- iVariable: Size
Returns Real

inverseCumulativeZ

inverseCumulativeZ(p: Probability): Real

- Defined in ql/experimental/math/gaussiancopulapolicy.ts:62
Parameters
- p: Probability
Returns Real

numFactors

numFactors(): Size

- Defined in ql/experimental/math/gaussiancopulapolicy.ts:34
Returns Size