copula (version 0.999-15)

nacFrail.time: 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 $V0$s. For the submatrix that remains if the first column is removed, row $i$ (for $theta0[i]$) contains the run times for the $V01$s for a particular $theta0$ and all the admissible $theta1$s.

See Also

The class acopula and our predefined "acopula" family objects in acopula-families. For some timings on a standard notebook, see demo(timings) (or the file ‘timings.R’ in the demo folder).

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) )
)