public static IArtaProcess CreateArtaProcess(RealDistribution distribution, double[] artaCorrelationCoefficients, RandomGenerator random) //throws NonFeasibleCorrelationException, NotStationaryException
{
AbstractArtaProcess arta = null;
if (artaCorrelationCoefficients == null || artaCorrelationCoefficients.Length == 0)
{
double[] noCorrelation = { 0.0 };
artaCorrelationCoefficients = noCorrelation;
}
// check feasibility
FeasibilityTest ft = new FeasibilityTest(distribution);
ft.CheckFeasibility(artaCorrelationCoefficients);
// check if correlation matrix is positive definite, if not CholeskyDecomposition throws Error
new CholeskyDecomposition(AutoCorrelation.GetCorrelationMatrix(artaCorrelationCoefficients));
if (distribution is NormalDistribution)
{
arta = CreateArtaProcessN((NormalDistribution)distribution, artaCorrelationCoefficients, random);
}
else if (distribution is UniformRealDistribution)
{
arta = createArtaProcessU((UniformRealDistribution)distribution, artaCorrelationCoefficients, random);
}
else
{
arta = CreateArtaProcessG(distribution, artaCorrelationCoefficients, random);
}
return(arta);
}
private IArtaProcess CreateArtaProcess()
{
if (ArtaCorrelationCoefficients == null)
{
ArtaCorrelationCoefficients = new double[] { 0.0 };
}
AutoCorrelation.GetCorrelationMatrix(ArtaCorrelationCoefficients).Cholesky();
return(distribution.CreateArtaProcess(ArtaCorrelationCoefficients, new MersenneTwister()));
}
public static double[] ArAutocorrelationsToAlphas(double[] arAutocorrelations)
{
var dim = arAutocorrelations.Length;
var alphas = new double[dim];
var psi = AutoCorrelation.GetCorrelationMatrix(arAutocorrelations);
var r = CreateMatrix.DenseOfColumnArrays(arAutocorrelations).Transpose();
var a = r.Multiply(psi.Cholesky().Solve(psi).Inverse());
alphas = a.Row(0).AsArray();
return(alphas);
}
/**
* Determines the coefficients (alpha) for the ARTA-Process.
* */
public static double[] ArAutocorrelationsToAlphas(double[] arAutocorrelations)
{
int dim = arAutocorrelations.Length;
double[] alphas = new double[dim];
RealMatrix psi = AutoCorrelation.GetCorrelationMatrix(arAutocorrelations);
RealMatrix r = new Array2DRowRealMatrix(arAutocorrelations).transpose();
RealMatrix a = r.multiply(new CholeskyDecomposition(psi).getSolver().getInverse());
alphas = a.getRow(0);
return(alphas);
}
public ArtaStatistics CorrelationMatrix()
{
AutoCorrelation.GetCorrelationMatrix(context.ArtaCorrelationCoefficients);
return(this);
}
