#include "gstlearn_export.hpp"
#include "Basic/VectorNumT.hpp"
#include "Matrix/MatrixSquareGeneral.hpp"
Functions | |
GSTLEARN_EXPORT VectorDouble | hermitePolynomials (double y, double r, int nbpoly) |
GSTLEARN_EXPORT VectorDouble | hermitePolynomials (double y, double r, const VectorInt &ifacs) |
GSTLEARN_EXPORT VectorDouble | hermiteCoefIndicator (double yc, int nbpoly) |
GSTLEARN_EXPORT VectorDouble | hermiteCoefMetal (double yc, const VectorDouble &phi) |
GSTLEARN_EXPORT VectorDouble | hermiteCoefLower (double y, int nbpoly) |
GSTLEARN_EXPORT VectorDouble | hermiteIndicatorLower (double y, int nbpoly) |
GSTLEARN_EXPORT MatrixSquareGeneral | hermiteIncompleteIntegral (double yc, int nbpoly) |
GSTLEARN_EXPORT VectorDouble | hermiteLognormal (double mean, double sigma, int nbpoly) |
GSTLEARN_EXPORT double | hermiteSeries (const VectorDouble &an, const VectorDouble &hn) |
GSTLEARN_EXPORT VectorDouble | hermiteIndicator (double yc, VectorDouble krigest, VectorDouble krigstd) |
GSTLEARN_EXPORT double | hermiteIndicatorElement (double yc, double krigest, double krigstd) |
GSTLEARN_EXPORT VectorDouble | hermiteIndicatorStd (double yc, VectorDouble krigest, VectorDouble krigstd) |
GSTLEARN_EXPORT double | hermiteIndicatorStdElement (double yc, double krigest, double krigstd) |
GSTLEARN_EXPORT VectorDouble | hermiteMetal (double yc, VectorDouble krigest, VectorDouble krigstd, const VectorDouble &phi) |
GSTLEARN_EXPORT double | hermiteMetalElement (double yc, double krigest, double krigstd, const VectorDouble &phi) |
GSTLEARN_EXPORT VectorDouble | hermiteMetalStd (double yc, VectorDouble krigest, VectorDouble krigstd, const VectorDouble &phi) |
GSTLEARN_EXPORT double | hermiteMetalStdElement (double yc, double krigest, double krigstd, const VectorDouble &phi) |
GSTLEARN_EXPORT VectorDouble | hermiteCondExp (VectorDouble krigest, VectorDouble krigstd, const VectorDouble &phi) |
GSTLEARN_EXPORT double | hermiteCondExpElement (double krigest, double krigstd, const VectorDouble &phi) |
GSTLEARN_EXPORT VectorDouble | hermiteCondStd (VectorDouble krigest, VectorDouble krigstd, const VectorDouble &phi) |
GSTLEARN_EXPORT double | hermiteCondStdElement (double krigest, double krigstd, const VectorDouble &phi) |
GSTLEARN_EXPORT VectorDouble hermiteCoefIndicator | ( | double | yc, |
int | nbpoly | ||
) |
yc | Cutoff Value |
nbpoly | Number of Hermite polynomials |
GSTLEARN_EXPORT VectorDouble hermiteCoefLower | ( | double | y, |
int | nbpoly | ||
) |
Returns the vector of Hermite coefficients of the gaussian floored at 'y'
y | Floor value |
nbpoly | Number of Polynomial functions |
GSTLEARN_EXPORT VectorDouble hermiteCoefMetal | ( | double | yc, |
const VectorDouble & | phi | ||
) |
yc | Cutoff Value |
phi | Coefficients of Hermite polynomial |
GSTLEARN_EXPORT VectorDouble hermiteCondExp | ( | VectorDouble | krigest, |
VectorDouble | krigstd, | ||
const VectorDouble & | phi | ||
) |
Calculate the Conditional Expectation: E[Z | Z1=z1, Z2=z2, ..., Zn=zn] = int Phi(y_kk + s_k u) g(u) du
krigest | Vector of Kriging estimates |
krigstd | Vector of Kriging standard deviations |
phi | Array of Hermite coefficients |
GSTLEARN_EXPORT double hermiteCondExpElement | ( | double | krigest, |
double | krigstd, | ||
const VectorDouble & | phi | ||
) |
GSTLEARN_EXPORT VectorDouble hermiteCondStd | ( | VectorDouble | krigest, |
VectorDouble | krigstd, | ||
const VectorDouble & | phi | ||
) |
Vector of conditional variances (same dimension as krigest and krigstd)
krigest | Vector of Kriging estimate |
krigstd | Vector of Kriging standard deviations |
phi | Array of Hermite coefficients |
GSTLEARN_EXPORT double hermiteCondStdElement | ( | double | krigest, |
double | krigstd, | ||
const VectorDouble & | phi | ||
) |
GSTLEARN_EXPORT MatrixSquareGeneral hermiteIncompleteIntegral | ( | double | yc, |
int | nbpoly | ||
) |
yc | Cutoff Value |
nbpoly | Number of Hermite polynomials |
GSTLEARN_EXPORT VectorDouble hermiteIndicator | ( | double | yc, |
VectorDouble | krigest, | ||
VectorDouble | krigstd | ||
) |
yc | Cutoff Value |
krigest | Estimation |
krigstd | Standard deviation of estimation error |
GSTLEARN_EXPORT double hermiteIndicatorElement | ( | double | yc, |
double | krigest, | ||
double | krigstd | ||
) |
GSTLEARN_EXPORT VectorDouble hermiteIndicatorLower | ( | double | y, |
int | nbpoly | ||
) |
GSTLEARN_EXPORT VectorDouble hermiteIndicatorStd | ( | double | yc, |
VectorDouble | krigest, | ||
VectorDouble | krigstd | ||
) |
GSTLEARN_EXPORT double hermiteIndicatorStdElement | ( | double | yc, |
double | krigest, | ||
double | krigstd | ||
) |
GSTLEARN_EXPORT VectorDouble hermiteLognormal | ( | double | mean, |
double | sigma, | ||
int | nbpoly | ||
) |
Hermite coefficient for a lognormal transform mean * exp(sigma * Y + 1/2 * sigma^2)
mean | Mean value |
sigma | Standard deviation |
nbpoly | Number of Hermite polynomials |
GSTLEARN_EXPORT VectorDouble hermiteMetal | ( | double | yc, |
VectorDouble | krigest, | ||
VectorDouble | krigstd, | ||
const VectorDouble & | phi | ||
) |
yc | Cutoff Value |
krigest | Estimation |
krigstd | Standard deviation of estimation error |
phi | Hermite coefficients |
GSTLEARN_EXPORT double hermiteMetalElement | ( | double | yc, |
double | krigest, | ||
double | krigstd, | ||
const VectorDouble & | phi | ||
) |
GSTLEARN_EXPORT VectorDouble hermiteMetalStd | ( | double | yc, |
VectorDouble | krigest, | ||
VectorDouble | krigstd, | ||
const VectorDouble & | phi | ||
) |
GSTLEARN_EXPORT double hermiteMetalStdElement | ( | double | yc, |
double | krigest, | ||
double | krigstd, | ||
const VectorDouble & | phi | ||
) |
GSTLEARN_EXPORT VectorDouble hermitePolynomials | ( | double | y, |
double | r, | ||
int | nbpoly | ||
) |
Calculation of the Hermite Polynomials for a given value
y | Gaussian value for which the Hermite polynomials are calculated |
r | Change of support coefficient |
nbpoly | Number of Hermite polynomials |
GSTLEARN_EXPORT VectorDouble hermitePolynomials | ( | double | y, |
double | r, | ||
const VectorInt & | ifacs | ||
) |
Returns the vector of Hermite Polynomials selected by ranks
y | Target variable |
r | Change of support coefficient |
ifacs | Vector of ranks (staring from 0) |
GSTLEARN_EXPORT double hermiteSeries | ( | const VectorDouble & | an, |
const VectorDouble & | hn | ||
) |
Evaluate the Hermite expansion
an | Series of coefficients of the Hermite polynomials |
hn | Hermite polynomial values |