lhs_stein - z random sample(nsample,nvar Budiman(2004...

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function z=lhs_stein(xmean,xsd,corr,nsample,ntry) % z=lhs_stein(xmean,xsd,corr,nsample) % LHS with correlation, normal distribution % method of Stein (1987) % Stein, M. 1987. Large Sample Properties of Simulations Using Latin Hypercube Sampling. % Technometrics 29:143-151 % Input: % xmean : mean of data (1,nvar) % xsd : std.dev of data (1,nvar) % corr : correlation matrix of the variables (nvar,nvar) % nsample : no. of samples % ntry : optional, no of trial to get a close correlation matrix % Output:
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Unformatted text preview: % z : random sample (nsample,nvar) % Budiman (2004) % nvar=length(xmean); if(nargin==4), ntry=1; end; i rc=rank_corr(corr,nsample); % calculate rank correlation r amin=realmax; for il=1:ntry for j=1:nvar % rank correlation r=rc(:,j); % draw random no. u=rand(nsample,1); % calc. probability p=(r-u)./nsample; % inverse from normal distribution z(:,j)=(ltqnorm(p).*xsd(j))+xmean(j); end ae=sum(sum(abs(corrcoef(z)-corr))); if(ae<amin), zb=z; amin=ae; end; end e z=zb;...
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  • Spring '09
  • mon
  • Probability theory, probability density function, 151 %, rank correlation amin=realmax, close correlation matrix
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