pystra.correlation

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

absoluteIntegralValue	Objective function for the Nataf correlation optimisation.
computeModifiedCorrelationMatrix	Compute the modified (Nataf) correlation matrix.
setModifiedCorrelationMatrix	Compute the modified correlation matrix and store it on the model.

Classes

CorrelationMatrix

Physical-space correlation matrix wrapper.