copula (version 1.1-6)

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)

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

\(V_0\)s. 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 \(\theta_1\)s.

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).

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
# \donttest{
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) )
)