https://github.com/cran/nacopula
Revision 161411bb86f97e5a8bd89091cd61d03a33c2761a authored by Martin Maechler on 06 February 2012, 00:00 UTC, committed by Gabor Csardi on 06 February 2012, 00:00 UTC
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Tip revision: 161411bb86f97e5a8bd89091cd61d03a33c2761a authored by Martin Maechler on 06 February 2012, 00:00 UTC
version 0.8-0
Tip revision: 161411b
dDiag-plots.R
p.dDiag <-
    function(family, d, n = 1000, log = FALSE,
	     tau = c(0.01,
		     ## First tau = 0.01 for all families
		     if(family=="AMH") c((1:3)/10, 0.33) else
		     c((1:9)/10, .95, 0.99, .999)),
	     lty = 1:3,
	     cols = adjustcolor(colorRampPalette(c("red", "orange", "blue"),
				space = "Lab")(length(tau)), 0.8))
{
    stopifnot(length(d) == 1, d == as.integer(d), d >= 2, n >= 10)
    cop <- getAcop(family)
    th. <- cop@tauInv(tau)
    u <- seq(0,1, length = n)
    mainTit <-
        paste("Diagonal densities of ", family, "\n d = ",d,
              if(log)", log = TRUE", sep="")
    c.tau <- format(tau)
    c.th  <- format(th., scientific=FALSE, digits = 4)

    ## yMat <- sapply(th., function(theta)
    ##                dDiag(u, cop=onacopulaL(family, list(theta, 1:d)),
    ##                      log=log))
    ## The "generic" Archimedean  dDiag():
    yM.a <- sapply(th., function(theta)
                   nacopula:::dDiagA(u, d=d, cop= setTheta(cop, theta), log=log))
    ## The dDiag-*s*lot :
    yM.s <- sapply(th., function(theta)
                   cop@dDiag(u, theta=theta, d=d, log=log))

    p.oneMat <- function(yMat, label) {
        thisTit <- paste(label, mainTit, sep=": ")
        non.fin <- !is.finite(yMat)
        ## Rather: in log-scale, -Inf  may be ok :
        if(log) non.fin <- non.fin & (is.na(yMat) | yMat != -Inf)
        nF.mat <-
            if(any(has.nF <- apply(non.fin, 2, any))) {
                i.non.fin <- apply(non.fin, 2, which.max)
                i.non.fin[!has.nF] <- NA
                cat(thisTit,":\n non-finite values -- for (theta,  u >= *):\n")
                print(cbind(theta = th.[has.nF], u = u[i.non.fin[has.nF]]))
            }
        matplot(u, yMat, type = "l", col = cols, lty = lty,
                ylab="dDiag(u, *)", main= thisTit)
        if(any(has.nF)) { ## mark the end points
            i1 <- i.non.fin - 1
            points(u[i1], yMat[cbind(i1, seq_along(tau))],
                   col = cols, cex = 1.5, lwd=2, pch = 4)
        }
        abline(h=0, lty=3)
        lleg <- lapply(seq_along(tau), function(j) {
            cc <- if(has.nF[j]) {
                i <- i.non.fin[j]
                sprintf("  f(%.3g) = %g", u[i], yMat[i,j])
            }
            substitute(list(tau == TAU, theta == TH) ~ COMM,
                       list(TAU= c.tau[j], TH= c.th[j], COMM= cc))

        })
        legend(if(log)"bottomright" else "topleft",
               do.call(expression, lleg),
               lty = lty, col=cols, bty="n")
    }## end{ p.oneMat() }

    p.oneMat(yM.a, "dDiagA()")
    p.oneMat(yM.s, "cop @ dDiag()")

    invisible(list(d = d, tau=tau, theta=th., u = u, dDiag.a = yM.a, dDiag.s = yM.s))
}

par(ask = dev.interactive(orNone = TRUE))

r.dDiag.3 <- lapply(nacopula:::c_longNames,
                    function(family) p.dDiag(family, d = 3))
r.dDiag.4.L <- lapply(nacopula:::c_longNames,
                    function(family) p.dDiag(family, d = 4, log=TRUE))

r.dDiag.15 <- lapply(nacopula:::c_longNames,
                     function(family) p.dDiag(family, d = 15))

r.dDiag.75 <- lapply(nacopula:::c_longNames,
                     function(family) p.dDiag(family, d = 75))

r.dDiag.200.L <- lapply(nacopula:::c_longNames,
                    function(family) p.dDiag(family, d = 200, log=TRUE))

### Experiment with and Explore dDiagFrank() methods ----------------------
###                             ============

source(system.file("Rsource", "utils.R", package="nacopula"))##--> ... nCorrDigits()

dDiagF <- nacopula:::dDiagFrank
meths <- eval(formals(dDiagF)$method)
(meths <- meths[meths != "auto"])# now 8 of them ..

## a set of  u's  which  "goes into corners":
tt <- 2^(-32:-2)
str(u <- sort(c(tt, seq(1/512, 1-1/512, length= 257), 1 - tt)))

## set of  theta's :
(taus <- c(10^(-4:-2), (1:5)/10, (12:19)/20, 1 - 10^(-2:-5)))
thetas <- copFrank@tauInv(taus)
## and now "round"
taus <- copFrank@tau(thetas <- signif(thetas, 2))
noquote(cbind(theta = thetas, tau = formatC(taus, digits = 3, width= -6)))
## set of d's
d.set <- c(2:4, 7, 10, 15, 25, 35, 50, 75, 120, 180, 250)

## --- now, the dDiagFrank is vectorized properly in  (u, th)
str(m.tu <- as.matrix(d.tu <- expand.grid(th = thetas, u = u)))
tu.attr <- attr(d.tu, "out.attrs")
##  6380 x 2

str(rNum <- sapply(meths, function(METH)
                 sapply(d.set, function(d)
                        dDiagF(u=m.tu[,"u"], theta = m.tu[,"th"], d=d, method = METH)),
                 simplify = "array"))
## 6380 x 13 x 8
rNum. <- rNum # save it

rNum <- rNum. # restore and ...
(dim(rNum) <- c(tu.attr$dim, dim(rNum)[-1]))
names(dim(rNum))[3:4] <- c("d","meth")
dim(rNum)
  ## th    u    d meth
  ## 20  319   13    8
dimnames(rNum) <- list(tu.attr$dimnames$th, NULL, paste("d",d.set, sep="="), meths)
str(rNum)

filR <- "Frank-dDiag.rda"
##       ---------------
if(isMMae <- identical("maechler",Sys.getenv("USER"))) {
   resourceDir <- "~/R/D/R-forge/nacopula/www/resources"
   if(file.exists(ff <- file.path(resourceDir, filR)))
       cat("Will use ", (filR <- ff),"\n")
}
develR <- isMMae ## || ....  Marius _TODO_ extend ..
if(canGet(filR)) attach(filR) else {
    ##           ------------
    ## Compute for more about 10 minutes --- using
    ## package Rmpfr - we need here
    stopifnot(require("Rmpfr"))

    m.M <- mpfr(m.tu, precBits = 512)# <- takes a few seconds

    stopifnot(dim(m.M) == dim(m.tu),
              identical(dimnames(m.M), dimnames(m.tu)))

print(system.time({ ## this *does* take some time,
    ## 5 seconds per small 'd', 100's for large :
    r.mpfr <- lapply(d.set, function(d) {
        cat(sprintf("d = %4d:",d))
        CT <- system.time(r <- dDiagF(u=m.M[,"u"], theta = m.M[,"th"],
                                      d=d, method = "polyFull"))[[1]]
        cat(formatC(CT, digits=5, width=8), " [Ok]\n")
        r
    })
}))
## lynne (2011-07): -- and method "m1" (which has constant time)
##   User      System verstrichen
## 76.117       0.229      76.564
## but with "polyFull" (which is needed, even for Rmpfr-accuracy !)
## cmath-5  --- with 8 methods and u[1:: (length 319):
## d =    2:   4.054  [Ok]
## d =    3:   6.157  [Ok]
## d =    4:    6.47  [Ok]
## d =    7:     9.1  [Ok]
## d =   10:  10.252  [Ok]
## d =   15:  13.697  [Ok]
## d =   25:  20.144  [Ok]
## d =   35:  28.102  [Ok]
## d =   50:  37.477  [Ok]
## d =   75:  50.146  [Ok]
## d =  120:  61.319  [Ok]
## d =  180:  118.95  [Ok]
## d =  250:  181.59  [Ok]
##    user  system elapsed
## 553.665   0.138 554.079
##-- lynne:  40% faster ---
##    user  system elapsed
## 349.165   1.495 351.810

length(r.Xct <- do.call(c, r.mpfr))# a long vector --> somewhat slow
## 82940
object.size(r.Xct)## -> 97.5 millions (!)
object.size(r.xct <- as(r.Xct,"numeric"))## 664 kB [much smaller!
dim     (r.xct) <- dim     (rNum) [1:3]
dimnames(r.xct) <- dimnames(rNum)[1:3]

objL1 <- c("u", "taus", "thetas", "d.set",
           "m.tu", "meths", "rNum", "r.xct")
objL2 <- c(objL1, "m.M", "r.Xct")

## where to *save* the result, when we don't have any -- must be writable
sFileW <- {
    if(isMMae) file.path("~/R/Pkgs/nacopula", "demo", "Frank-dDiag-mpfr.rda")
    ## else if(...) ....
    else tempfile("nacop-Frank-dDiag-mpfr", fileext="rda")}
if(develR) { ## need to save the file that "goes with nacopula":
    if(!exists("resourceDir") || !file.exists(resourceDir))
        stop("need writable pkg dir for developer")
    sFileR.dev <- file.path(resourceDir, filR)
    save(list = objL1, file = sFileR.dev)
    ## + the one with full Rmpfr objects:
    dim     (r.Xct) <- dim     (rNum) [1:3]
    dimnames(r.Xct) <- dimnames(rNum)[1:3]
    save(list = objL2, file = sFileW)
} else { ## everyone else:
    save(list = objL1, file = sFileW)
}
} ## end else -- 10 minutes computation -----------------------------------

dim(rNum)
## th    u    d meth
## 20  319   13    6
stopifnot(prod(dim(rNum)[1:3]) == length(r.xct))
                                        # 20 * 319 == 6380
n.c <- nCorrDigits(r.xct, rNum) # and n.c keeps the dim + dimnames !
str(n.c)
## an array of "rank 4" --- now contains the interesting accuracy info !!

p.nCorr <- function(nc, d, i.th, u, type="l",
                    legend.loc = "bottomleft")
{
    stopifnot(is.numeric(nc), length(di <- dim(nc)) == 4,
              d == round(d), is.character(names(di)),
              length(u) == di[["u"]])
    dnam <- (dn <- dimnames(nc))[[3]]
    stopifnot((c.d <- paste("d",d,sep="=")) %in% dnam)
    names(dn) <- names(di) # as dim(.) are named here
    th.nam <- sub("^th=","", dn[["th"]])
    for(jd in dnam[dnam %in% c.d]) {
        dd <- as.integer(sub("^d=", "", jd))
        for(it in i.th) {
            matplot(u, nc[it,,jd,], type=type)
            TH <- as.numeric(th.nam[it])
            mtext(bquote(theta == .(TH) ~~~~ d == .(dd)), line = 1)
            legend(legend.loc, legend = dn[["meth"]],
                   lty=1:5, col=1:6, ## <- same defaults as matplot()
                   bty = "n")
        }
    }
}

p.nCorr(n.c, d=3, i.th=12, u=u)

## very large theta:
p.nCorr(n.c, i.th= 16, d=120, u=u, leg = "right")

## small theta: poly1,poly2 not useful {other methods all "ok"}
p.nCorr(n.c, i.th= 4, d=120, u=u, leg = "left")

## medium theta (= 9.4): clear separation from around u = 0.3
## but poly1 and 2 are not yet "usable" here:
p.nCorr(n.c, i.th= 10, d=120, u=u, leg = "left")

## bigger theta (= 14): "polyFull" >> m1,MH,MMH: from very early on:
## poly2 still not useful
p.nCorr(n.c, i.th= 12, d=120, u=u, leg = "left")

if(dev.interactive()) ## open a second one
    getOption("device")()
## same theta with small d --- qualitatively similar
p.nCorr(n.c, i.th= 12, d= 7, u=u, leg = "left")

## Ok, and now do all of them

if(newPDF <- !dev.interactive(orNone=TRUE)) pdf("dDiag-Frank-accuracy.pdf")

## tau ~= 0.75 :
p.nCorr(n.c, i.th= which(abs(taus - 0.75) < .01),
        d= d.set, u=u, leg = "left")

## and now do all thetas -- for quite a subset of d :
p.nCorr(n.c, i.th= seq_along(thetas), d= c(2, 4, 10, 50, 180),
        u=u, leg = "left")

if(newPDF) dev.off()
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