cran-comments.md

In spesenti/SWIM: Scenario Weights for Importance Measurement

Re-submission: Version 1.0.0

Test environments

• ubuntu (on travis-ci)
• local win (R4.1.2; R Under development (2022-01-07 r81458 ucrt), (2022-01-08 r81460 ucrt))

R CMD check results

There were no ERRORS, no WARNINGS, and no NOTES.

CRAN status: OK: 13

Downstream dependencies

There are currently no downstream dependencies for this package.

Changes (copied from NEWS.md file)

Major changes: Additional functions and features

• Wasserstein distance

  • stress_wass():
    • A wrapper for the stress functions using the 2-Wasserstein distance
  • stress_RM_w():
    • a stressed model component (random variable) fulfills a constraint on its risk measure defined by a gamma function.
  • stress_RM_mean_sd_w():
    • a stressed model component (random variable) fulfills a constraint on its mean, standard deviation, and risk measure defined by a gamma function.
  • stress_HARA_RM_w():
    • a stressed model component (random variable) fulfills a constraint on its HARA utility defined by a, b and eta parameter and risk measure defined by a gamma function.
  • stress_mean_sd_w():
    • a stressed model component (random variable) fulfills a constraint on its mean and standard deviation.
  • stress_mean_w():
    • a stressed model component (random variable) fulfills a constraint on its mean.

• Functions

  • mean_stressed():
    • sample mean of chosen stressed model components, subject to the calculated scenario weights.
  • sd_stressed():
    • sample standard deviation of chosen stressed model components, subject to the calculated scenario weights.
  • var_stressed():
    • sample variance of chosen stressed model components, subject to the calculated scenario weights.
  • cor_stressed():
    • sample correlation coefficient of chosen stressed model components, subject to the calculated scenario weights.
  • cdf_stressed():
    • the empirical distribution function of a stressed model component (random variable) under the scenario weights.
  • rename_SWIM():
    • Get a new SWIM object with desired names.

• Features

  • stress():
    • A parameter "names" to all stress functions, which allows to name a stress differently than just "stress 1", "stress 2", etc.
    • A parameter "log" that allows users to inspect weights' statistics, including minimum, maximum, standard deviation, Gini coefficient, and entropy.
  • sensitivity():
    • A parameter "p" can be specified for the degree of Wasserstein distance.

Minor changes

• fix minor bug in summary().
• add base argument for quantile_stressed() and an error message if the input has wCol has dimension larger than 1.

spesenti/SWIM documentation built on Jan. 15, 2022, 11:19 a.m.