library(microbenchmark)
# Test for equality
set.seed(123)
x <- matrix(rnorm(1000 * 5), 1000, 5)
all.equal(PerformanceAnalytics:::M3.MM(x), PerformanceAnalytics:::M3.MM.old(x))
all.equal(PerformanceAnalytics:::M4.MM(x), PerformanceAnalytics:::M4.MM.old(x))
data(edhec)
all.equal(PerformanceAnalytics:::M3.MM(edhec), PerformanceAnalytics:::M3.MM.old(edhec))
all.equal(PerformanceAnalytics:::M4.MM(edhec), PerformanceAnalytics:::M4.MM.old(edhec))
# Do benchmarks with bigger data set
m <- 100000
n <- 10
set.seed(21)
r <- matrix(rnorm(m * n), m, n)
benchM3 <- microbenchmark(
PerformanceAnalytics:::M3.MM(r),
PerformanceAnalytics:::M3.MM.old(r),
times=10
)
benchM3
plot(benchM3, main="M3 Benchmarks")
benchM4 <- microbenchmark(
PerformanceAnalytics:::M4.MM(r),
PerformanceAnalytics:::M4.MM.old(r),
times=10
)
benchM4
plot(benchM4, main="M4 Benchmarks")
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