Dist reshape

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Dist_reshape(x, newdist)

Reshapes the probability distribution of uncertain quantity «x» so that it has the same marginal probability distribution (i.e, same set of sample values) as «newdist», but retains the same ranks as «x». Thus:

Rank(Sample(x), Run) =
Rank(Sample(Reshape_dist(x, y)), Run)

In a Mid context, it simply returns the mid value of «newdist», with any indexes of «x».

The result retains any rank correlations that «x» may have with other predecessor variables. So, the rank-order correlation between a third variable z and «x» will be the same as the rank-order correlation between z and a reshaped version of «x», i.e.

RankCorrel(x, z) =
RankCorrel(Dist_Reshape(x, y), z)

The operation may optionally be applied along an index other than Run.


Multivariate Distributions library functions (Multivariate Distributions.ana)

Use File → Add Library... to add this library

See Also


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