HARK
HARK copied to clipboard
New functionality: correlated discretized RVs
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:
-
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
-
Discretized multivariate normal distribution. Take in vector array of means and matrix array of varcov, return joint normal approximation.
-
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