nacTiming: Timing for Sampling Frailties of Nested Archimedean Copulas
In copula: Multivariate Dependence with Copulas

nacFrail.time

R Documentation

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 `V_0` and `V_{01}`.
`family`	the Archimedean family (class `"acopula"`) for which `V_0` and `V_{01}` are sampled.
`taus`	`numeric` vector of Kendall's taus. This vector is converted to a vector of copula parameters `\theta`, which then serve as `\theta_0` and `\theta_1` for a three-dimensional fully nested Archimedean copula of the specified `family`. First, for each `\theta_0`, `n` random variates `V_0` are generated. Then, given the particular `\theta_0` and the realizations `V_0`, `n` random variates `V_{01}` are generated for each `\theta_1` 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 \times 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 V_0s. For the submatrix that remains if the first column is removed, row i (for {\theta_0}_i) contains the run times for the V_{01}s for a particular \theta_0 and all the admissible \theta_1s.

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 documentation built on Sept. 11, 2024, 7:48 p.m.