pystra.dependence.correlation.compute_modified_correlation_matrix

compute_modified_correlation_matrix(stochastic_model)

Compute the modified (Nataf) correlation matrix.

For each pair of non-normal marginals, the physical-space correlation \(\rho_{ij}\) is mapped to the standard-normal-space correlation \(\rho_{0,ij}\) by numerically solving the bi-folded integral equation. For jointly normal pairs the mapping is the identity.

The number of quadrature points is increased adaptively for correlations close to \(\pm 1\) to maintain accuracy.

Parameters:

stochastic_model (StochasticModel) – The stochastic model containing marginal distributions and the physical-space correlation matrix.

Returns:

The symmetric modified correlation matrix Ro of shape (n, n) in standard normal space.

Return type:

ndarray