multivariate.hpp

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// toolboxes/stats/include/nk/stats/distributions/multivariate.hpp
//
// Multivariate distribution primitives.
 
#pragma once
 
#include <cstddef>
#include <memory_resource>
#include <nk/value/value.hpp>
 
namespace nk {

 namespace ops { class RngContext; } }
 
namespace nk::stats {

Value mvnrnd(::nk::ops::RngContext &rng, const Value &mu, const Value &Sigma, std::size_t n = 0,
             std::pmr::memory_resource *mr = nullptr);

Value mvncdf(const Value &X, const Value &mu, const Value &Sigma,
              std::pmr::memory_resource *mr = nullptr);

Value mvtrnd(::nk::ops::RngContext &rng, const Value &C, double df, std::size_t n,
              std::pmr::memory_resource *mr = nullptr);

Value mnrnd(::nk::ops::RngContext &rng, std::size_t N, const Value &P, std::size_t m = 1,
              std::pmr::memory_resource *mr = nullptr);

Value wishrnd(::nk::ops::RngContext &rng, const Value &Sigma, double df,
              std::pmr::memory_resource *mr = nullptr);

Value iwishrnd(::nk::ops::RngContext &rng, const Value &Tau, double df,
               std::pmr::memory_resource *mr = nullptr);

std::tuple<Value, Value>
wishrnd_factor(::nk::ops::RngContext &rng, const Value &Sigma, double df,
               const Value &D, std::pmr::memory_resource *mr = nullptr);

std::tuple<Value, Value>
iwishrnd_factor(::nk::ops::RngContext &rng, const Value &Tau, double df,
                const Value &DI, std::pmr::memory_resource *mr = nullptr);

Value mvtcdf(const Value &X, const Value &C, double df,
             double tol = 0.01,
             std::pmr::memory_resource *mr = nullptr);

Value mvtcdf_box(const Value &L, const Value &U, const Value &C, double df,
                 double tol = 0.01,
                 std::pmr::memory_resource *mr = nullptr);
 

} // namespace nk::stats