create_matrix_from_quantile

rearrangement_algorithm.create_matrix_from_quantile(quant, prob, level=1.0)

Create a matrix approximation from marginal quantile functions

Given a set of \(n\) quantile functions, this function returns a matrix where each column represents a random variable with the specified marginal distribution. Each row represents the value of the random variable at a given probability. For details, see 1.

Parameters

  • quant (list) – List of marginal quantile functions

  • prob (list of float) – Probability values at which the quantile functions are evaluated.

  • level (float) – Confidence level between 0 and 1.

Returns

x_mat – Matrix with the values of the random variables at the specified probabilites.

Return type

numpy.array

References

1

M. Hofert, “Implementing the Rearrangement Algorithm: An Example from Computational Risk Management,” Risks, vol. 8, no. 2, May 2020.