/**
* Takes a Cholesky decomposition from the Cholesky.cholesky method and a set of data simulated
* using the information in that matrix. Written by Don Crimbchin. Modified June 8, Matt
* Easterday: added a random # seed so that data can be recalculated with the same result in
* Causality lab
*
* @param cholesky the result from cholesky above.
* @param randomUtil a random number generator, if null the method will make a new generator for
* each random number needed
* @return an array the same length as the width or length (cholesky should have the same width
* and length) containing a randomly generate data set.
*/
private double[] exogenousData(TetradMatrix cholesky, RandomUtil randomUtil) {
// Step 1. Generate normal samples.
double exoData[] = new double[cholesky.rows()];
for (int i = 0; i < exoData.length; i++) {
exoData[i] = randomUtil.nextNormal(0, 1);
}
// Step 2. Multiply by cholesky to get correct covariance.
double point[] = new double[exoData.length];
for (int i = 0; i < exoData.length; i++) {
double sum = 0.0;
for (int j = 0; j <= i; j++) {
sum += cholesky.get(i, j) * exoData[j];
}
point[i] = sum;
}
return point;
}
