Revision

**e24ab1e1bade02a8136bd488815825e92fa6acd7**authored by Martin Maechler on**18 August 2010, 00:00:00 UTC**, committed by Gabor Csardi on**18 August 2010, 00:00:00 UTC****1 parent**57da57c

rfjoe.c

```
/*
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/>.
*/
#include <Rmath.h>
#include "nacopula.h"
/**
* Sample V ~ F with F(n) = 1-1/(n*B(n,1-alpha)), n in IN, with
* Laplace-Stieltjes transform 1-(1-exp(-t))^alpha via the algorithm of
* Hofert (2010).
* Note: The caller of this function must use GetRNGstate() and PutRNGstate().
* @param alpha parameter theta0/theta1 in (0,1]
* @param iAlpha 1-alpha
* @param gamma_1_a Gamma(1-alpha)
* @return a random variate from F
* @author Marius Hofert, Martin Maechler
*/
double rFJoe(double alpha, double iAlpha /**< := 1 - alpha */,
double gamma_1_a /**< == Gamma(1 - alpha) == Gamma(iALpha) */){
double U, I_al = 1./alpha;
/**< FIXME(MM): (for alpha not too close to 1): re-express using 1-U */
U = unif_rand();
if(U <= alpha)
return 1.;
else { /**< alpha < U < 1 */
double Ginv = pow((1-U)*gamma_1_a, -I_al);
double fGinv = floor(Ginv);
if(1-U < 1./(fGinv*beta(fGinv, iAlpha)))
return ceil(Ginv);
else return fGinv;
}
}
/**
* Vectorize rFJoe. Generate a vector of variates
* V ~ F with F(n) = 1-1/(n*B(n,1-alpha)), n in IN, with Laplace-Stieltjes
* transform 1-(1-exp(-t))^alpha.
* @param V vector of random variates from F (result)
* @param n length of the vector V
* @param alpha parameter theta0/theta1 in (0,1]
* @param iAlpha 1-alpha
* @return none
* @author Marius Hofert, Martin Maechler
*/
void rFJoe_vec(double V[], const int n,
const double alpha, const double iAlpha /**< := 1 - alpha */){
if(n >= 1) {
double G1_a = gammafn(iAlpha);
GetRNGstate();
for(int i=0; i < n; i++)
V[i] = rFJoe(alpha, iAlpha, G1_a);
PutRNGstate();
}
return;
}
/**
* Generate a vector of variates
* V ~ F with F(n) = 1-1/(n*B(n,1-alpha)), n in IN, with Laplace-Stieltjes
* transform 1-(1-exp(-t))^alpha.
* Note: Should be fast as it is used as a building block in different places.
* @param n sample size
* @param alpha parameter theta0/theta1 in (0,1]
* @return vector of random variates V
* @author Martin Maechler
*/
SEXP rFJoe_c(SEXP n, SEXP alpha)
{
int nn = asInteger(n);
double alp = asReal(alpha);
SEXP res = PROTECT(allocVector(REALSXP, nn));
rFJoe_vec(REAL(res), nn, alp, 1. - alp);
UNPROTECT(1);
return(res);
}
```

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