We are hiring ! See our job offers.
https://github.com/cran/nacopula
Raw File
Tip revision: e24ab1e1bade02a8136bd488815825e92fa6acd7 authored by Martin Maechler on 18 August 2010, 00:00:00 UTC
version 0.4-3
Tip revision: e24ab1e
copula-play.R
## Copyright (C) 2010 Marius Hofert and Martin Maechler
##
## This program is free software; you can redistribute it and/or modify it under
## the terms of the GNU General Public License as published by the Free Software
## Foundation; either version 3 of the License, or (at your option) any later
## version.
##
## This program is distributed in the hope that it will be useful, but WITHOUT
## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
## FOR A PARTICULAR PURPOSE. See the GNU General Public License for more
## details.
##
## You should have received a copy of the GNU General Public License along with
## this program; if not, see <http://www.gnu.org/licenses/>.

require(nacopula)
set.seed(1)

if(!dev.interactive())
    pdf("copula-play.pdf")

##' ==== testing psi ====

myCop <- setTheta(copAMH, value = 0.5) # is maybe more natural

setGeneric("psi", function(cop) standardGeneric("psi"))
setMethod(psi, "acopula",
          function(cop) { function(t) cop@psi(t, theta = cop@theta) })
psi(myCop) # is a function
psi(myCop)(0:4)
curve(psi(myCop)(x), 0, 4)
##' but this can also be done directly [ => same curve "on top" :]
curve(myCop@psi(x, theta = myCop@theta),  0, 4, col = 2, add = TRUE)

##' ==== testing Kendall's tau ====

p.Tau <- function(cop, n = 201, xlim = pmin(paraI, 50), ...) {
    stopifnot(is(cop, "acopula"))
    paraI <- cop@paraInterval
    theta <- seq(xlim[1], xlim[2], length.out = n)
    tit <- substitute(tau[NAME](theta), list(NAME = cop@name))
    plot(theta, cop@tau(theta), type = "l", main = tit, ...)
    abline(h = c(0,1), lty = 3, col = "gray20")
}

p.Tau(copAMH)
p.Tau(copClayton)
p.Tau(copFrank, xlim = c(0, 80), ylim= 0:1) # fast via debye_1()
p.Tau(copGumbel)
p.Tau(copJoe, ylim = 0:1, yaxs="i")

##' ==== test function ====

##' procedure to do several measurements
##' @param cop copula
##' @param theta1 parameter theta1
##' @param thetavec vector of parameters
##' @param i10 values where psi is evaluated
##' @param nRnd number of generated V0's and V01's
##' @param t01 values where psiinv is evaluated
##' @param lambdaLvec vector of lower tail-dependence coefficients
##' @param lambdaUvec vector of upper tail-dependence coefficients
##' @return list of measurements
##' @author Marius Hofert, Martin Maechler
tstCop <- function(cop, theta1 = cop@theta, thetavec = cop@theta, i10 = 1:10,
                   nRnd = 50, t01 = (1:63)/64, # exact binary fractions
                   lambdaLvec = NA_real_, lambdaUvec = NA_real_)
{
    stopifnot(is(cop, "acopula"))
    cat0 <- function(...) cat(..., "\n", sep = "")
    theta0 <- cop@theta
    CT <- list()
    cat0(sprintf("(1) copula family: %10s, theta0 = %g",
                 cop@name, theta0))
    cat("\n(2) values of psi at i10:\n")
    CT <- c(CT, list(psi = system.time(p.i <- cop@psi(i10,theta = theta0))))
    print(p.i)
    cat("check if psi(Inf)=0: ")
    stopifnot(cop@psi(Inf, theta = theta0)==0)
    cat0("TRUE")
    cat("check if psiInv(numeric(0)) is numeric(0): ")
    n0 <- numeric(0)
    stopifnot(identical(n0, cop@psiInv(n0, theta = theta0)))
    cat0("TRUE")
    cat("check if psiInv(0)=Inf: ")
    stopifnot(cop@psiInv(0, theta = theta0)==Inf)
    cat0("TRUE")
    cat0("values of psiInv at t01:\n")
    CT <- c(CT, list(psiI = system.time(pi.t <- cop@psiInv(t01,
                     theta = theta0))))
    print(pi.t)
    CT[["psiI"]] <- CT[["psiI"]]
    + system.time(pi.pi <- cop@psiInv(p.i,theta = theta0))
    CT[["psi" ]] <- CT[["psi" ]] + system.time(p.pit <- cop@psi(pi.t,
                                                                theta = theta0))
    cat0("check if psiInv(psi(i10))==i10: ", all.equal(pi.pi, i10))
    cat0("check if psi(psiInv(t01))==t01: ", all.equal(p.pit, t01))
    cat("\n(3) parameter interval:\n")
    print(cop@paraInterval)
    cat0("theta1=",theta1)
    cat0("nesting condition for theta0 and theta1 fulfilled: ",
         cop@nestConstr(theta0,theta1))
    CT <- c(CT, list(V0 = system.time(V0 <- cop@V0(nRnd,theta0))))
    cat0("\n(4) ",nRnd," generated V0's:")
    print(summary(V0))
    CT <- c(CT, list(V01 = system.time(V01 <- cop@V01(V0,theta0,theta1))))
    cat0(nRnd," generated V01's:")
    print(summary(V01))
    nt <- length(thetavec)
    cat("\n(5) tau at thetavec:\n")
    CT <- c(CT, list(tau = system.time(ta <- cop@tau(thetavec))))
    print(ta)
    CT <- c(CT, list(tauI = system.time(ta.I <- cop@tauInv(ta))))
    cat0("check if tauInv(tau(thetavec))==thetavec: ",
         all.equal(ta.I, thetavec))
    lambdaLvec <- rep(as.double(lambdaLvec), length.out= nt)
    lambdaUvec <- rep(as.double(lambdaUvec), length.out= nt)
    cat("\n(6) lambdaL at thetavec:\n")
    CT <- c(CT, list(lambdaL = system.time(lT <- cop@lambdaL(thetavec))))
    CT <- c(CT, list(lT.I = system.time(lT.I <- cop@lambdaLInv(lT))))
    print(lT)
    cat0("check if lambdaLInv(lambdaL(thetavec))==lambdaLvec: ",
         all.equal(lT.I, lambdaLvec))
    cat("\n(7) lambdaU at thetavec:\n")
    CT <- c(CT, list(lambdaU = system.time(uT <- cop@lambdaU(thetavec))))
    CT <- c(CT, list(uT.I = system.time(uT.I <- cop@lambdaUInv(uT))))
    print(uT)
    cat0("check if lambdaUInv(lambdaU(thetavec))==lambdaUvec: ",
         all.equal(uT.I, lambdaUvec))
    class(CT) <- "proc_time_list"
    CT
}

##' print() method for the tstCop() results
print.proc_time_list <- function (x, ...) {
    stopifnot(is.list(x), !is.null(nx <- names(x)))
    for(nm in nx)
	if(!all(x[[nm]] == 0, na.rm=TRUE)) {
	    cat(nm,":\n"); print(x[[nm]], ...)
	}
    invisible(x)
}

##' ==== copAMH ====

myAMH <- setTheta(copAMH, 0.7135001)
thetavec <- c(0.1,0.3,0.5,0.7,0.9)
tstCop(myAMH, 0.9429679, thetavec = thetavec)

##' ==== copClayton ====

myClayton <- setTheta(copClayton, 0.5)
thetavec <- c(0.5,1,2,5,10)
tstCop(myClayton, 2, thetavec, lambdaL = thetavec, lambdaU = NA)

##' ==== copFrank ===

myFrank <- setTheta(copFrank, 1.860884)
thetavec <- c(0.5,1,2,5,10)
tstCop(myFrank, 5.736283, thetavec)

##' with a slightly more extensive test:
tau.th <- c(0.055417, 0.11002, 0.21389, 0.4567, 0.66578)
tau.F <- myFrank@tau(thetavec)
stopifnot(all.equal(tau.th, tau.F, tol = 0.0001),
	  all.equal(.9999, copFrank@tau(copFrank@tauInv(0.9999))),
	  all.equal(myFrank@tauInv(tau.F, tol = 1e-14), thetavec, tol=1e-11))


##' ==== copGumbel ===

myGumbel <- setTheta(copGumbel, 1.25)
thetavec <- c(1,2,4,6,10)
tstCop(myGumbel,2, thetavec, lambdaL = NA, lambdaU = thetavec)

##' ==== copJoe ===

myJoe <- setTheta(copJoe, 1.25)
thetavec <- c(1.1,2,4,6,10)
tstCop(myJoe, 2, thetavec, lambdaL = NA, lambdaU = thetavec)
back to top