pystra.dependence.correlation

Use it: User guide · Worked example · Theory

Correlation matrix handling and Nataf correlation modification.

The Nataf model transforms correlated non-normal random variables into correlated standard-normal variables. When the marginal distributions are non-normal, the correlation matrix in standard normal space (the modified correlation matrix Ro) differs from the physical-space correlation matrix R. This module provides the numerical procedure that finds Ro from R and the marginal distributions.

Functions

absolute_integral_value	Objective function for the Nataf correlation optimization.
compute_modified_correlation_matrix	Compute the modified (Nataf) correlation matrix.
set_modified_correlation_matrix	Compute the modified correlation matrix and store it on the model.

Classes

CorrelationMatrix

Validated correlation matrix of the physical variables.