mistral (version 2.2.2)

ModifCorrMatrix: Modification of a correlation matrix to use in UtoX

Description

ModifCorrMatrix modifies a correlation matrix originally defined using SPEARMAN correlation coefficients to the correlation matrix to be used in the NATAF transformation performed in UtoX.

Usage

ModifCorrMatrix(Rs)

Value

R0

Modified correlation matrix

Arguments

Rs

Original correlation matrix defined using SPEARMAN correlation coefficient : $$R_s=[\rho_{ij}^s]$$

Author

Gilles DEFAUX,

References

• M. Lemaire, A. Chateauneuf and J. Mitteau. Structural reliability, Wiley Online Library, 2009

• Lebrun, R. and A. Dutfoy. A generalization of the Nataf transformation to distributions with elliptical copula. Prob. Eng. Mech., 24(2), 172-178.

• V. Dubourg, Meta-modeles adaptatifs pour l'analyse de fiabilite et l'optimisation sous containte fiabiliste, PhD Thesis, Universite Blaise Pascal - Clermont II,2011

See Also

UtoX

Examples

Dim <- 2
input.Rho    <- matrix( c(1.0, 0.5,
                          0.5, 1.0),nrow=Dim)
input.R0     <- ModifCorrMatrix(input.Rho)
print(input.R0)