/usr/include/openturns/NormalCopula.hxx is in libopenturns-dev 0.15-2.
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/**
* @file NormalCopula.hxx
* @brief A class that implements a normal copula
*
* (C) Copyright 2005-2011 EDF-EADS-Phimeca
*
* This library is free software; you can redistribute it and/or
* modify it under the terms of the GNU Lesser General Public
* License as published by the Free Software Foundation; either
* version 2.1 of the License.
*
* This library is distributed in the hope that it will be useful
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
* Lesser General Public License for more details.
*
* You should have received a copy of the GNU Lesser General Public
* License along with this library; if not, write to the Free Software
* Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA 02111-1307 USA
*
* @author: $LastChangedBy: souchaud $
* @date: $LastChangedDate: 2011-07-01 10:34:36 +0200 (Fri, 01 Jul 2011) $
* Id: $Id: NormalCopula.hxx 1981 2011-07-01 08:34:36Z souchaud $
*/
#ifndef OPENTURNS_NORMALCOPULA_HXX
#define OPENTURNS_NORMALCOPULA_HXX
#include "CopulaImplementation.hxx"
#include "CorrelationMatrix.hxx"
#include "Normal.hxx"
#include "Exception.hxx"
namespace OpenTURNS {
namespace Uncertainty {
namespace Distribution {
/**
* @class NormalCopula
*
* The class implements a normal copula
*/
class NormalCopula
: public Model::CopulaImplementation
{
CLASSNAME;
public:
typedef Model::CopulaImplementation CopulaImplementation; // required by SWIG
typedef CopulaImplementation::NotDefinedException NotDefinedException;
typedef CopulaImplementation::NumericalPoint NumericalPoint;
typedef CopulaImplementation::NumericalSample NumericalSample;
typedef CopulaImplementation::Implementation Implementation;
typedef CopulaImplementation::CovarianceMatrix CovarianceMatrix;
typedef CopulaImplementation::IsoProbabilisticTransformation IsoProbabilisticTransformation;
typedef CopulaImplementation::InverseIsoProbabilisticTransformation InverseIsoProbabilisticTransformation;
typedef CopulaImplementation::NumericalPointWithDescriptionCollection NumericalPointWithDescriptionCollection;
typedef CopulaImplementation::Indices Indices;
typedef CopulaImplementation::Interval Interval;
typedef CopulaImplementation::Description Description;
typedef Base::Stat::CorrelationMatrix CorrelationMatrix;
typedef Base::Common::NotSymmetricDefinitePositiveException NotSymmetricDefinitePositiveException;
typedef CopulaImplementation::StorageManager StorageManager;
/** Default constructor */
explicit NormalCopula(const UnsignedLong dim = 1);
/** Default constructor */
explicit NormalCopula(const CorrelationMatrix & correlation);
/** Comparison operator */
Bool operator ==(const NormalCopula & other) const;
/** String converter */
String __repr__() const;
String __str__(const String & offset = "") const;
/* Interface inherited from Distribution */
/** Virtual constructor */
virtual NormalCopula * clone() const;
/** Get one realization of the NormalCopula distribution */
NumericalPoint getRealization() const;
/** Get the DDF of the NormalCopula distribution */
using CopulaImplementation::computeDDF;
NumericalPoint computeDDF(const NumericalPoint & point) const;
/** Get the PDF of the NormalCopula distribution */
using CopulaImplementation::computePDF;
NumericalScalar computePDF(const NumericalPoint & point) const;
/** Get the CDF of the NormalCopula distribution */
using CopulaImplementation::computeCDF;
NumericalScalar computeCDF(const NumericalPoint & point, const Bool tail = false) const;
/** Get the probability content of an interval */
NumericalScalar computeProbability(const Interval & interval) const;
/** Get the PDF gradient of the distribution */
NumericalPoint computePDFGradient(const NumericalPoint & point) const;
/** Get the CDF gradient of the distribution */
NumericalPoint computeCDFGradient(const NumericalPoint & point) const;
/** Compute the PDF of Xi | X1, ..., Xi-1. x = Xi, y = (X1,...,Xi-1) */
NumericalScalar computeConditionalPDF(const NumericalScalar x,
const NumericalPoint & y) const;
/** Compute the CDF of Xi | X1, ..., Xi-1. x = Xi, y = (X1,...,Xi-1) */
NumericalScalar computeConditionalCDF(const NumericalScalar x,
const NumericalPoint & y) const;
/** Compute the quantile of Xi | X1, ..., Xi-1, i.e. x such that CDF(x|y) = q with x = Xi, y = (X1,...,Xi-1) */
NumericalScalar computeConditionalQuantile(const NumericalScalar q,
const NumericalPoint & y) const;
/** Get the distribution of the marginal distribution corresponding to indices dimensions */
using CopulaImplementation::getMarginal;
NormalCopula * getMarginal(const Indices & indices) const /* throw(InvalidArgumentException) */;
/** Get the isoprobabilist transformation */
IsoProbabilisticTransformation getIsoProbabilisticTransformation() const;
/** Get the inverse isoprobabilist transformation */
InverseIsoProbabilisticTransformation getInverseIsoProbabilisticTransformation() const;
/** Tell if the distribution has independent copula */
Bool hasIndependentCopula() const;
/** Parameters value and description accessor */
NumericalPointWithDescriptionCollection getParametersCollection() const;
/** Compute the correlation matrix of a Normal Copula from its Spearman correlation matrix */
static CorrelationMatrix GetCorrelationFromSpearmanCorrelation(const CorrelationMatrix & matrix) /* throw(NotSymmetricDefinitePositiveException) */;
/** Compute the correlation matrix of a Normal Copula from its Kendall correlation matrix */
static CorrelationMatrix GetCorrelationFromKendallCorrelation(const CorrelationMatrix & matrix) /* throw(NotSymmetricDefinitePositiveException) */;
/** Method save() stores the object through the StorageManager */
virtual void save(StorageManager::Advocate & adv) const;
/** Method load() reloads the object from the StorageManager */
virtual void load(StorageManager::Advocate & adv);
protected:
private:
// Normal copula parameter
CorrelationMatrix correlation_;
// Underlying generic representative
Normal normal_;
}; /* class NormalCopula */
} /* namespace Distribution */
} /* namespace Uncertainty */
} /* namespace OpenTURNS */
#endif /* OPENTURNS_NORMALCOPULA_HXX */
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