# pyerrors.misc

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    #!/usr/bin/env python
    # coding: utf-8

    import numpy as np
    from .obs import Obs

    def gen_correlated_data(means, cov, name, tau=0.5, samples=1000):
        """ Generate observables with given covariance and autocorrelation times.

        Parameters
        ----------
        means -- list containing the mean value of each observable.
        cov -- covariance matrix for the data to be geneated.
        name -- ensemble name for the data to be geneated.
        tau -- can either be a real number or a list with an entry for
               every dataset.
        samples -- number of samples to be generated for each observable.
        """

        assert len(means) == cov.shape[-1]
        tau = np.asarray(tau)
        if np.min(tau) < 0.5:
            raise Exception('All integrated autocorrelations have to be >= 0.5.')

        a = (2 * tau - 1) / (2 * tau + 1)
        rand = np.random.multivariate_normal(np.zeros_like(means), cov * samples, samples)

        # Normalize samples such that sample variance matches input
        norm = np.array([np.var(o, ddof=1) / samples for o in rand.T])
        rand = rand @ np.diag(np.sqrt(np.diag(cov))) @ np.diag(1 / np.sqrt(norm))

        data = [rand[0]]
        for i in range(1, samples):
            data.append(np.sqrt(1 - a ** 2) * rand[i] + a * data[-1])
        corr_data = np.array(data) - np.mean(data, axis=0) + means
        return [Obs([dat], [name]) for dat in corr_data.T]

def gen_correlated_data(means, cov, name, tau=0.5, samples=1000):
View Source

    def gen_correlated_data(means, cov, name, tau=0.5, samples=1000):
        """ Generate observables with given covariance and autocorrelation times.

        Parameters
        ----------
        means -- list containing the mean value of each observable.
        cov -- covariance matrix for the data to be geneated.
        name -- ensemble name for the data to be geneated.
        tau -- can either be a real number or a list with an entry for
               every dataset.
        samples -- number of samples to be generated for each observable.
        """

        assert len(means) == cov.shape[-1]
        tau = np.asarray(tau)
        if np.min(tau) < 0.5:
            raise Exception('All integrated autocorrelations have to be >= 0.5.')

        a = (2 * tau - 1) / (2 * tau + 1)
        rand = np.random.multivariate_normal(np.zeros_like(means), cov * samples, samples)

        # Normalize samples such that sample variance matches input
        norm = np.array([np.var(o, ddof=1) / samples for o in rand.T])
        rand = rand @ np.diag(np.sqrt(np.diag(cov))) @ np.diag(1 / np.sqrt(norm))

        data = [rand[0]]
        for i in range(1, samples):
            data.append(np.sqrt(1 - a ** 2) * rand[i] + a * data[-1])
        corr_data = np.array(data) - np.mean(data, axis=0) + means
        return [Obs([dat], [name]) for dat in corr_data.T]

Generate observables with given covariance and autocorrelation times.

###### Parameters

- means -- list containing the mean value of each observable.
- cov -- covariance matrix for the data to be geneated.
- name -- ensemble name for the data to be geneated.
- tau -- can either be a real number or a list with an entry for: every dataset.
- samples -- number of samples to be generated for each observable.