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//to you under the Apache License, Version 2.0 (the
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//http://www.apache.org/licenses/LICENSE-2.0
//Unless required by applicable law or agreed to in writing,
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package org.apache.commons.math.random;
import org.apache.commons.math.DimensionMismatchException;
import org.apache.commons.math.linear.RealMatrix;
import org.apache.commons.math.stat.descriptive.moment.VectorialCovariance;
import org.apache.commons.math.stat.descriptive.moment.VectorialMean;
import junit.framework.*;
public class UncorrelatedRandomVectorGeneratorTest
extends TestCase {
public UncorrelatedRandomVectorGeneratorTest(String name) {
super(name);
mean = null;
standardDeviation = null;
generator = null;
}
public void testMeanAndCorrelation() throws DimensionMismatchException {
VectorialMean meanStat = new VectorialMean(mean.length);
VectorialCovariance covStat = new VectorialCovariance(mean.length, true);
for (int i = 0; i < 10000; ++i) {
double[] v = generator.nextVector();
meanStat.increment(v);
covStat.increment(v);
}
double[] estimatedMean = meanStat.getResult();
double scale;
RealMatrix estimatedCorrelation = covStat.getResult();
for (int i = 0; i < estimatedMean.length; ++i) {
assertEquals(mean[i], estimatedMean[i], 0.07);
for (int j = 0; j < i; ++j) {
scale = standardDeviation[i] * standardDeviation[j];
assertEquals(0, estimatedCorrelation.getEntry(i, j) / scale, 0.03);
}
scale = standardDeviation[i] * standardDeviation[i];
assertEquals(1, estimatedCorrelation.getEntry(i, i) / scale, 0.025);
}
}
public void setUp() {
mean = new double[] {0.0, 1.0, -3.0, 2.3};
standardDeviation = new double[] {1.0, 2.0, 10.0, 0.1};
RandomGenerator rg = new JDKRandomGenerator();
rg.setSeed(17399225432l);
generator =
new UncorrelatedRandomVectorGenerator(mean, standardDeviation,
new GaussianRandomGenerator(rg));
}
public void tearDown() {
mean = null;
standardDeviation = null;
generator = null;
}
public static Test suite() {
return new TestSuite(UncorrelatedRandomVectorGeneratorTest.class);
}
private double[] mean;
private double[] standardDeviation;
private UncorrelatedRandomVectorGenerator generator;
}