decorrelate.rst

Decorrelate

.Decorrelate is a class to remove correlation from an correlated standard normal vector z = [Z₁, ..., Z_n] with correlation matrix C_z = [ρ_ij]. The uncorrelated standard normal vector u = [U₁, ..., U_n] can be calculated as:

u^⊺ = H^− 1z^⊺

Decorrelate Class

The .Decorrelate class is imported using the following command:

>>> from UQpy.transformations.Decorrelate import Decorrelate

Methods

UQpy.transformations.Decorrelate

Attributes

UQpy.transformations.Decorrelate.H

UQpy.transformations.Decorrelate.samples_u