copula: nacTiming – R documentation

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nacTiming

Timing for Sampling Frailties of Nested Archimedean Copulas

Description

This function provides measurements of user run times for the frailty variables involved in a nested Archimedean copula.

Usage

nacFrail.time(n, family, taus, digits = 3, verbose = FALSE)

Arguments

`n`	integer specifying the sample size to be used for the random variates V0 and V01.
`family`	the Archimedean family (class `"acopula"`) for which V0 and V01 are sampled.
`taus`	`numeric` vector of Kendall's taus. This vector is converted to a vector of copula parameters theta, which then serve as theta0 and theta1 for a three-dimensional fully nested Archimedean copula of the specified `family`. First, for each theta0, `n` random variates V0 are generated. Then, given the particular theta0 and the realizations V0, `n` random variates V01 are generated for each theta1 fulfilling the sufficient nesting condition; see `paraConstr` in `acopula`.
`digits`	number of digits for the output.
`verbose`	logical indicating if `nacFrail.time` output should generated while the random variates are generated (defaults to `FALSE`).

Value

A k x k matrix of user run time measurements in milliseconds (1000*system.time(.)[1]) where k is length(taus). The first column contains the run times for generating the V0s. For the submatrix that remains if the first column is removed, row i (for theta0[i]) contains the run times for the V01s for a particular theta0 and all the admissible theta1s.

Examples

## takes about 7 seconds:% so we rather test a much smaller set in R CMD check

nacFrail.time(10000, "Gumbel", taus=  c(0.05,(1:9)/10, 0.95))

system.time(
print( nacFrail.time(1000,  "Gumbel", taus = c(0.5,1,6,9)/10) )
)

copula

Multivariate Dependence with Copulas

v1.0-1

GPL (>= 3) | file LICENCE

Authors

Marius Hofert [aut] (<https://orcid.org/0000-0001-8009-4665>), Ivan Kojadinovic [aut] (<https://orcid.org/0000-0002-2903-1543>), Martin Maechler [aut, cre] (<https://orcid.org/0000-0002-8685-9910>), Jun Yan [aut] (<https://orcid.org/0000-0003-4401-7296>), Johanna G. Nešlehová [ctb] (evTestK(), <https://orcid.org/0000-0001-9634-4796>), Rebecca Morger [ctb] (fitCopula.ml(): code for free mixCopula weight parameters)

Initial release

2020-12-07