#' ## Pareto jump CPP ##
#'
#' For the CPP LFM parametrization with *Pareto* jumps, we chose the parameters
#' \( \lambda = 1 \), \( \alpha = 0.5 \), and \( x_0 = 5e-4 \). This corresponds
#' to a mean-jump-value of approximately \( 0.07 \).
#+ r parameters
n <- 1e3
d <- 15
lambda <- 1
alpha <- 0.5
x0 <- 5e-4
bf <- ScaledBernsteinFunction(
scale = lambda,
original = ParetoBernsteinFunction(alpha = alpha, x0 = x0)
)
intensities <- intensities(bf, d)
ex_intensities <- exIntensities(bf, d)
#+ r bench
mark(
Arnold = rmo(n, d, intensities, method = "AM"),
ExMarkovian = rexmo(n, d, ex_intensities, method = "MDCM"),
LFM = rpextmo(
n, d, gamma = lambda,
eta = c("alpha" = alpha, "x0" = x0), family = "Pareto",
method = "LFM"
),
min_iterations = 100L,
check = FALSE
)
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