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New functionality: correlated discretized RVs

Open mnwhite opened this issue 7 years ago • 9 comments

As is, our only method for automatically generating discretized joint distributions is combineIndepDstns. HARK.utilities should also contain methods for making discrete approximations to correlated multivariate distributions. Three requests:

  1. To start really simple: continuous uniform distribution with linear relationships.

    • In 2D, the graph of the continuous PDF is a parallelogram; the discrete approximation would be approximately a parallelogram but with jagged edges
  2. Discretized multivariate normal distribution. Take in vector array of means and matrix array of varcov, return joint normal approximation.

  3. Same as (2), but lognormal with underlying lognormal distribution as specified.

NB. We plan to move toward a system like that of dolo for discretizing distributions. The best way to do this task might be to figure out how to construct a front end to dolo's existing tools for doing this.

This is related to #119 and #121

mnwhite avatar Jul 10 '17 13:07 mnwhite