Last updated on 2024-08-09 12:49:35 CEST.
| Flavor | Version | Tinstall | Tcheck | Ttotal | Status | Flags |
|---|---|---|---|---|---|---|
| r-devel-linux-x86_64-debian-clang | 1.0-12 | 5.22 | 66.13 | 71.35 | ERROR | |
| r-devel-linux-x86_64-debian-gcc | 1.0-12 | 3.97 | 49.85 | 53.82 | ERROR | |
| r-devel-linux-x86_64-fedora-clang | 1.0-12 | 121.70 | OK | |||
| r-devel-linux-x86_64-fedora-gcc | 1.0-12 | 114.90 | OK | |||
| r-devel-windows-x86_64 | 1.0-12 | 7.00 | 101.00 | 108.00 | NOTE | |
| r-patched-linux-x86_64 | 1.0-12 | 6.91 | 66.40 | 73.31 | OK | |
| r-release-linux-x86_64 | 1.0-12 | 4.94 | 67.88 | 72.82 | OK | |
| r-release-macos-arm64 | 1.0-12 | 49.00 | NOTE | |||
| r-release-macos-x86_64 | 1.0-12 | 76.00 | NOTE | |||
| r-release-windows-x86_64 | 1.0-12 | 8.00 | 101.00 | 109.00 | OK | |
| r-oldrel-macos-arm64 | 1.0-12 | 66.00 | NOTE | |||
| r-oldrel-macos-x86_64 | 1.0-12 | 127.00 | NOTE | |||
| r-oldrel-windows-x86_64 | 1.0-12 | 8.00 | 128.00 | 136.00 | OK |
Version: 1.0-12
Check: package dependencies
Result: NOTE
Package suggested but not available for checking: ‘copula’
Flavors: r-devel-linux-x86_64-debian-clang, r-devel-linux-x86_64-debian-gcc
Version: 1.0-12
Check: Rd cross-references
Result: NOTE
Found the following Rd file(s) with Rd \link{} targets missing package
anchors:
device.Rd: pdf.end
Please provide package anchors for all Rd \link{} targets not in the
package itself and the base packages.
Flavors: r-devel-linux-x86_64-debian-clang, r-devel-linux-x86_64-debian-gcc, r-devel-windows-x86_64
Version: 1.0-12
Check: tests
Result: ERROR
Running ‘doExtras.R’ [1s/1s]
Comparing ‘doExtras.Rout’ to ‘doExtras.Rout.save’ ... OK
Running ‘getArray-swap.R’ [1s/1s]
Running ‘tst-wrongs.R’ [22s/48s]
Running ‘tstTGforecasts.R’ [5s/15s]
Running ‘tstVaRsuperadd.R’ [1s/1s]
Running ‘varlist.R’ [1s/2s]
Running the tests in ‘tests/tstVaRsuperadd.R’ failed.
Complete output:
> #### A "fast" and simplified version of demo(VaRsuperadd)
> #### see ../demo/VaRsuperadd.R
> #### ~~~~~~~~~~~~~~~~~~~~~
>
> require(simsalapar)
Loading required package: simsalapar
> source(system.file("xtraR/assertErr-etc.R", package="simsalapar", mustWork=TRUE))
>
> ## Must be fast, rather than "interesting":
> n.obs <- 16
> n.alpha <- 8
> doExtras <- FALSE
>
> demo(VaRsuperadd) # crucial part!
demo(VaRsuperadd)
---- ~~~~~~~~~~~
> ## Copyright Marius Hofert
>
> ### Goal: Simulation study for determining superadditivity of VaR
> ### Submit via (for example):
> ### bsub -N -W 01:00 -n 48 -R "select[model==Opteron8380]" -R "span[ptile=16]" \
> ### mpirun -n 1 R CMD BATCH Brutus_demo.R
>
>
> ### 0) Setup ###################################################################
>
> usr <- Sys.info()[["user"]] # better portability than Sys.getenv("USER")
> if(exists("n.obs") && is.numeric(n.obs) &&
+ exists("n.alpha") && is.numeric(n.alpha)) {
+ cat(">>> Using n.obs=", n.obs, ", n.alpha=", n.alpha, " <<<\n", sep="")
+ } else {
+ ## user specific settings
+ n.obs <- 100 # default
+ n.alpha <- 32
+ switch(usr,
+ "hofertj" = { # ETH Brutus
+ setwd("/cluster/home/math/hofertj/VaRsuperadd")
+ .libPaths("~/R/library")
+ n.obs <- 1e4
+ n.alpha <- 128
+ },
+ "mhofert" = {
+ n.obs <- 1e4 # n=1e4 ~ 4min (standard notebook)
+ n.alpha <- 128
+ },
+ "maechler" = {}
+ )
+ }
>>> Using n.obs=16, n.alpha=8 <<<
> if(n.alpha > n.obs)
+ stop("number of quantiles, n.alpha, must be smaller than the sample size, n.obs")
> if(!exists("doExtras")) doExtras <- simsalapar:::doExtras()
> doExtras
[1] FALSE
> ## load packages
> require(simsalapar)
> ## list of variables
> varList <-
+ varlist(
+ ## sample size
+ n = list(value = n.obs),
+ ## dimensions, and weights (vector) for each d
+ d = list(type="grid", value = c(4, 20, 100)),
+ ## copula family names
+ family = list(type="grid", expr = quote(C),
+ value = c("normal", "t", "Clayton", "Gumbel")), # t = t_4
+ ## dependencies by Kendall's tau
+ tau = list(type="grid", value = c(0.2, 0.5, 0.8)),
+ ## margins
+ qmargin = list(type="inner", expr = quote(F[j]),
+ value = c(norm = qnorm,
+ t4 = function(p) qt(p, df=4),
+ Par2 = function(p) (1-p)^(-1/2))), # Pareto(2)
+ ## VaR confidence levels
+ alpha = list(type="inner", value = 0:n.alpha/n.alpha))
> ### 1) Functions ###############################################################
>
> ##' @title Function to Compute F_{X_1+..+X_d}(d*F_1^-(\alpha))
> ##' @author Marius Hofert
> doOne <- function(n, d, family, tau, qmargin, alpha)
+ {
+ ## checks (and load required packages here for parallel computing later on)
+ ## stopifnot(require(copula))
+ ## Note: This require() affects run time due to loading copula once on each
+ ## node, but this can easily be identified by *robust* analysis of all
+ ## run times (or is negligible due to much larger run times of the jobs)
+ ## or, as another alternative, can be avoided by using initExpr (see below)
+
+ cop <- switch(family,
+ "normal" =
+ ellipCopula("normal", param=iTau(ellipCopula("normal"), tau=tau),
+ dim=d),
+ "t" =
+ ellipCopula("t", param=iTau(ellipCopula("t"), tau=tau), dim=d),
+ "Clayton" =
+ onacopulaL("Clayton", list(th=iTau(archmCopula("clayton"), tau),
+ seq_len(d))),
+ "Gumbel" =
+ onacopulaL("Gumbel", list(th=iTau(archmCopula("gumbel"), tau),
+ seq_len(d))),
+ stop("unsupported 'family'"))
+ U <- rCopula(n, copula=cop)
+
+ ## compute F_{X_1+..+X_d}(d*F_1^-(\alpha)) for all confidence levels alpha
+ ## => VaR_alpha superadditive <=> F_{X_1+..+X_d}(d*F_1^-(\alpha)) - alpha < 0
+ t(sapply(qmargin, function(FUN) ecdf(rowSums(FUN(U)))(d*FUN(alpha)) - alpha))
+ ## note: t() is important here, since, otherwise, the order of the variables
+ ## ---- would not be correct (=> check should reveal this)
+ }
> ### 2) Main ####################################################################
>
> ## check doOne
>
> ## manually
> require(copula) # for the following call of doOne()
Loading required package: copula
> nonGr <- get.nonGrids(varList)$nonGrids
> dd <- doOne(n= min(nonGr$n, 100), d=4, family="Clayton", tau=0.5,
+ qmargin=nonGr$qmargin, alpha=nonGr$alpha)
Error in onacopulaL("Clayton", list(th = iTau(archmCopula("clayton"), :
could not find function "onacopulaL"
Calls: demo -> source -> withVisible -> eval -> eval -> doOne
In addition: Warning message:
In library(package, lib.loc = lib.loc, character.only = TRUE, logical.return = TRUE, :
there is no package called 'copula'
Execution halted
Flavor: r-devel-linux-x86_64-debian-clang
Version: 1.0-12
Check: tests
Result: ERROR
Running ‘doExtras.R’ [0s/1s]
Comparing ‘doExtras.Rout’ to ‘doExtras.Rout.save’ ... OK
Running ‘getArray-swap.R’ [1s/1s]
Running ‘tst-wrongs.R’ [17s/40s]
Running ‘tstTGforecasts.R’ [5s/12s]
Running ‘tstVaRsuperadd.R’ [0s/1s]
Running ‘varlist.R’ [1s/1s]
Running the tests in ‘tests/tstVaRsuperadd.R’ failed.
Complete output:
> #### A "fast" and simplified version of demo(VaRsuperadd)
> #### see ../demo/VaRsuperadd.R
> #### ~~~~~~~~~~~~~~~~~~~~~
>
> require(simsalapar)
Loading required package: simsalapar
> source(system.file("xtraR/assertErr-etc.R", package="simsalapar", mustWork=TRUE))
>
> ## Must be fast, rather than "interesting":
> n.obs <- 16
> n.alpha <- 8
> doExtras <- FALSE
>
> demo(VaRsuperadd) # crucial part!
demo(VaRsuperadd)
---- ~~~~~~~~~~~
> ## Copyright Marius Hofert
>
> ### Goal: Simulation study for determining superadditivity of VaR
> ### Submit via (for example):
> ### bsub -N -W 01:00 -n 48 -R "select[model==Opteron8380]" -R "span[ptile=16]" \
> ### mpirun -n 1 R CMD BATCH Brutus_demo.R
>
>
> ### 0) Setup ###################################################################
>
> usr <- Sys.info()[["user"]] # better portability than Sys.getenv("USER")
> if(exists("n.obs") && is.numeric(n.obs) &&
+ exists("n.alpha") && is.numeric(n.alpha)) {
+ cat(">>> Using n.obs=", n.obs, ", n.alpha=", n.alpha, " <<<\n", sep="")
+ } else {
+ ## user specific settings
+ n.obs <- 100 # default
+ n.alpha <- 32
+ switch(usr,
+ "hofertj" = { # ETH Brutus
+ setwd("/cluster/home/math/hofertj/VaRsuperadd")
+ .libPaths("~/R/library")
+ n.obs <- 1e4
+ n.alpha <- 128
+ },
+ "mhofert" = {
+ n.obs <- 1e4 # n=1e4 ~ 4min (standard notebook)
+ n.alpha <- 128
+ },
+ "maechler" = {}
+ )
+ }
>>> Using n.obs=16, n.alpha=8 <<<
> if(n.alpha > n.obs)
+ stop("number of quantiles, n.alpha, must be smaller than the sample size, n.obs")
> if(!exists("doExtras")) doExtras <- simsalapar:::doExtras()
> doExtras
[1] FALSE
> ## load packages
> require(simsalapar)
> ## list of variables
> varList <-
+ varlist(
+ ## sample size
+ n = list(value = n.obs),
+ ## dimensions, and weights (vector) for each d
+ d = list(type="grid", value = c(4, 20, 100)),
+ ## copula family names
+ family = list(type="grid", expr = quote(C),
+ value = c("normal", "t", "Clayton", "Gumbel")), # t = t_4
+ ## dependencies by Kendall's tau
+ tau = list(type="grid", value = c(0.2, 0.5, 0.8)),
+ ## margins
+ qmargin = list(type="inner", expr = quote(F[j]),
+ value = c(norm = qnorm,
+ t4 = function(p) qt(p, df=4),
+ Par2 = function(p) (1-p)^(-1/2))), # Pareto(2)
+ ## VaR confidence levels
+ alpha = list(type="inner", value = 0:n.alpha/n.alpha))
> ### 1) Functions ###############################################################
>
> ##' @title Function to Compute F_{X_1+..+X_d}(d*F_1^-(\alpha))
> ##' @author Marius Hofert
> doOne <- function(n, d, family, tau, qmargin, alpha)
+ {
+ ## checks (and load required packages here for parallel computing later on)
+ ## stopifnot(require(copula))
+ ## Note: This require() affects run time due to loading copula once on each
+ ## node, but this can easily be identified by *robust* analysis of all
+ ## run times (or is negligible due to much larger run times of the jobs)
+ ## or, as another alternative, can be avoided by using initExpr (see below)
+
+ cop <- switch(family,
+ "normal" =
+ ellipCopula("normal", param=iTau(ellipCopula("normal"), tau=tau),
+ dim=d),
+ "t" =
+ ellipCopula("t", param=iTau(ellipCopula("t"), tau=tau), dim=d),
+ "Clayton" =
+ onacopulaL("Clayton", list(th=iTau(archmCopula("clayton"), tau),
+ seq_len(d))),
+ "Gumbel" =
+ onacopulaL("Gumbel", list(th=iTau(archmCopula("gumbel"), tau),
+ seq_len(d))),
+ stop("unsupported 'family'"))
+ U <- rCopula(n, copula=cop)
+
+ ## compute F_{X_1+..+X_d}(d*F_1^-(\alpha)) for all confidence levels alpha
+ ## => VaR_alpha superadditive <=> F_{X_1+..+X_d}(d*F_1^-(\alpha)) - alpha < 0
+ t(sapply(qmargin, function(FUN) ecdf(rowSums(FUN(U)))(d*FUN(alpha)) - alpha))
+ ## note: t() is important here, since, otherwise, the order of the variables
+ ## ---- would not be correct (=> check should reveal this)
+ }
> ### 2) Main ####################################################################
>
> ## check doOne
>
> ## manually
> require(copula) # for the following call of doOne()
Loading required package: copula
> nonGr <- get.nonGrids(varList)$nonGrids
> dd <- doOne(n= min(nonGr$n, 100), d=4, family="Clayton", tau=0.5,
+ qmargin=nonGr$qmargin, alpha=nonGr$alpha)
Error in onacopulaL("Clayton", list(th = iTau(archmCopula("clayton"), :
could not find function "onacopulaL"
Calls: demo -> source -> withVisible -> eval -> eval -> doOne
In addition: Warning message:
In library(package, lib.loc = lib.loc, character.only = TRUE, logical.return = TRUE, :
there is no package called 'copula'
Execution halted
Flavor: r-devel-linux-x86_64-debian-gcc
Version: 1.0-12
Check: package dependencies
Result: NOTE
Package suggested but not available for checking: ‘Rmpi’
Flavors: r-release-macos-arm64, r-release-macos-x86_64, r-oldrel-macos-arm64, r-oldrel-macos-x86_64
Version: 1.0-12
Check: Rd cross-references
Result: NOTE
Package unavailable to check Rd xrefs: ‘Rmpi’
Flavors: r-release-macos-arm64, r-release-macos-x86_64, r-oldrel-macos-arm64, r-oldrel-macos-x86_64