correlation_prb_output.txt

12 November 2012 02:11:59 PM

CORRELATION_PRB
  C++ version.
  Test the CORRELATION library.

CORRELATION_TEST01
  Make plots of correlation functions.

  Created data file "besselj_data.txt".
  Created command file "besselj_commands.txt".
  Created data file "besselk_data.txt".
  Created command file "besselk_commands.txt".
  Created data file "circular_data.txt".
  Created command file "circular_commands.txt".
  Created data file "constant_data.txt".
  Created command file "constant_commands.txt".
  Created data file "cubic_data.txt".
  Created command file "cubic_commands.txt".
  Created data file "damped_cosine_data.txt".
  Created command file "damped_cosine_commands.txt".
  Created data file "damped_sine_data.txt".
  Created command file "damped_sine_commands.txt".
  Created data file "exponential_data.txt".
  Created command file "exponential_commands.txt".
  Created data file "gaussian_data.txt".
  Created command file "gaussian_commands.txt".
  Created data file "hole_data.txt".
  Created command file "hole_commands.txt".
  Created data file "linear_data.txt".
  Created command file "linear_commands.txt".
  Created data file "matern_data.txt".
  Created command file "matern_commands.txt".
  Created data file "pentaspherical_data.txt".
  Created command file "pentaspherical_commands.txt".
  Created data file "power_data.txt".
  Created command file "power_commands.txt".
  Created data file "rational_quadratic_data.txt".
  Created command file "rational_quadratic_commands.txt".
  Created data file "spherical_data.txt".
  Created command file "spherical_commands.txt".
  Created data file "white_noise_data.txt".
  Created command file "white_noise_commands.txt".

CORRELATION_TEST02
  SAMPLE_PATHS_CHOLESKY generates sample paths from the
  correlation matrix, factored using the Cholesky factor.
  It requires that the correlation matrix is nonnegative definite.

  SAMPLE_PATHS_EIGEN generates sample paths from the
  correlation matrix, factored using the eigen factorization.
  If the correlation matrix is not nonnegative definite,
  we simply suppress negative eigenvalues.

  Created data file "besselj_path_data.txt".
  Created command file "besselj_path_commands.txt".
  Created data file "besselk_path_data.txt".
  Created command file "besselk_path_commands.txt".
  Created data file "circular_path_data.txt".
  Created command file "circular_path_commands.txt".
  Created data file "constant_path_data.txt".
  Created command file "constant_path_commands.txt".
  Created data file "cubic_path_data.txt".
  Created command file "cubic_path_commands.txt".
  Created data file "damped_cosine_path_data.txt".
  Created command file "damped_cosine_path_commands.txt".
  Created data file "damped_sine_path_data.txt".
  Created command file "damped_sine_path_commands.txt".
  Created data file "exponential_path_data.txt".
  Created command file "exponential_path_commands.txt".
  Created data file "gaussian_path_data.txt".
  Created command file "gaussian_path_commands.txt".
  Created data file "hole_path_data.txt".
  Created command file "hole_path_commands.txt".
  Created data file "linear_path_data.txt".
  Created command file "linear_path_commands.txt".
  Created data file "matern_path_data.txt".
  Created command file "matern_path_commands.txt".
  Created data file "pentaspherical_path_data.txt".
  Created command file "pentaspherical_path_commands.txt".
  Created data file "power_path_data.txt".
  Created command file "power_path_commands.txt".
  Created data file "rational_quadratic_path_data.txt".
  Created command file "rational_quadratic_path_commands.txt".
  Created data file "spherical_path_data.txt".
  Created command file "spherical_path_commands.txt".
  Created data file "white_noise_path_data.txt".
  Created command file "white_noise_path_commands.txt".

CORRELATION_TEST03
  Make plots of correlation functions for
  a range of correlation lengths.

  Created data file "besselj_plots_data.txt".
  Created command file "besselj_plots_commands.txt".
  Created data file "besselk_plots_data.txt".
  Created command file "besselk_plots_commands.txt".
  Created data file "circular_plots_data.txt".
  Created command file "circular_plots_commands.txt".
  Created data file "constant_plots_data.txt".
  Created command file "constant_plots_commands.txt".
  Created data file "cubic_plots_data.txt".
  Created command file "cubic_plots_commands.txt".
  Created data file "damped_cosine_plots_data.txt".
  Created command file "damped_cosine_plots_commands.txt".
  Created data file "damped_sine_plots_data.txt".
  Created command file "damped_sine_plots_commands.txt".
  Created data file "exponential_plots_data.txt".
  Created command file "exponential_plots_commands.txt".
  Created data file "gaussian_plots_data.txt".
  Created command file "gaussian_plots_commands.txt".
  Created data file "hole_plots_data.txt".
  Created command file "hole_plots_commands.txt".
  Created data file "linear_plots_data.txt".
  Created command file "linear_plots_commands.txt".
  Created data file "matern_plots_data.txt".
  Created command file "matern_plots_commands.txt".
  Created data file "pentaspherical_plots_data.txt".
  Created command file "pentaspherical_plots_commands.txt".
  Created data file "power_plots_data.txt".
  Created command file "power_plots_commands.txt".
  Created data file "rational_quadratic_plots_data.txt".
  Created command file "rational_quadratic_plots_commands.txt".
  Created data file "spherical_plots_data.txt".
  Created command file "spherical_plots_commands.txt".
  Created data file "white_noise_plots_data.txt".
  Created command file "white_noise_plots_commands.txt".

CORRELATION_TEST04
  Convert between a correlation and a covariance matrix.

  Covariance matrix K:

  Col:          0             1             2             3             4       
  Row

    0:            1             1             1             1             1  
    1:            1             2             2             2             2  
    2:            1             2             3             3             3  
    3:            1             2             3             4             4  
    4:            1             2             3             4             5  

  Correlation matrix C:

  Col:          0             1             2             3             4       
  Row

    0:            1      0.707107       0.57735           0.5      0.447214  
    1:     0.707107             1      0.816497      0.707107      0.632456  
    2:      0.57735      0.816497             1      0.866025      0.774597  
    3:          0.5      0.707107      0.866025             1      0.894427  
    4:     0.447214      0.632456      0.774597      0.894427             1  

  Variances:

         0:              1
         1:        1.41421
         2:        1.73205
         3:              2
         4:        2.23607

  Recovered covariance matrix K2:

  Col:          0             1             2             3             4       
  Row

    0:            1             1             1             1             1  
    1:            1             2             2             2             2  
    2:            1             2             3             3             3  
    3:            1             2             3             4             4  
    4:            1             2             3             4             5  

CORRELATION_TEST05
  CORRELATION_BROWNIAN_DISPLAY displays 4 slices of
  the Brownian correlation function.
  Created data file "brownian_plots_data.txt".
  Created command file "brownian_plots_commands.txt".

CORRELATION_TEST06
  For non-stationary correlation functions:

  SAMPLE_PATHS2_CHOLESKY generates sample paths from the
  correlation matrix, factored using the Cholesky factor.
  It requires that the correlation matrix is nonnegative definite.

  SAMPLE_PATHS2_EIGEN generates sample paths from the
  correlation matrix, factored using the eigen factorization.
  If the correlation matrix is not nonnegative definite,
  we simply suppress negative eigenvalues.

  SAMPLE_PATHS2_FFT generates sample paths from the
  correlation matrix, factored using the FFT factorization
  of the correlation matrix after embedding in a circulant.

  Created data file "brownian_path_data.txt".
  Created command file "brownian_path_commands.txt".

CORRELATION_PRB
  Normal end of execution.

12 November 2012 02:12:00 PM