04 March 2022 02:37:02 PM CORRELATION_TEST 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_TEST Normal end of execution. 04 March 2022 02:37:02 PM