use stable RNG in nested copula tests

iitis · Feb 2, 2022 · 8f0dd17 · 8f0dd17
1 parent 89203ec
commit 8f0dd17
Showing 1 changed file with 9 additions and 29 deletions.
diff --git a/test/nestedarchcoptest.jl b/test/nestedarchcoptest.jl
@@ -2,19 +2,15 @@
 
 @testset "nested archimedean copulas helpers 4 higher correlations" begin
  Random.seed!(43)
- u = nestedcopulag("clayton", [[1,2],[3,4]], [2., 3.], 1.1, [0.1 0.2 0.3 0.4 0.5; 0.2 0.3 0.4 0.5 0.6]; rng = Random.GLOBAL_RNG)
- if VERSION <= v"1.7"
- @test u ≈ [0.1532 0.1824 0.3742 0.4076; 0.6903 0.7409 0.2548 0.2791] atol=1.0e-3
- else
- @test u ≈ [0.3491 0.40705 0.6121 0.6551; 0.3630 0.41073 0.6927 0.7349] atol=1.0e-3
- end
+ rng = StableRNG(123)
+ u = nestedcopulag("clayton", [[1,2],[3,4]], [2., 3.], 1.1, [0.1 0.2 0.3 0.4 0.5; 0.2 0.3 0.4 0.5 0.6]; rng = rng)
+ @test u ≈ [0.2496 0.2946 0.71634 0.75654; 0.32992 0.37465 0.31906 0.34895] atol=1.0e-3
+
  Random.seed!(42)
- x = nestedcopulag("gumbel", [[1,2],[3,4]], [2., 3.], 1.1, [0.1 0.2 0.3 0.4 0.5; 0.2 0.3 0.4 0.5 0.6]; rng = Random.GLOBAL_RNG)
- if VERSION <= v"1.7"
- @test x ≈ [0.6248 0.6748 0.4516 0.4839; 0.8006 0.8250 0.9074 0.9152] atol=1.0e-3
- else
- @test x ≈ [0.3974 0.4623 0.2064 0.2368; 0.2826 0.3352 0.3489 0.38313] atol=1.0e-3
- end
+ rng = StableRNG(123)
+ x = nestedcopulag("gumbel", [[1,2],[3,4]], [2., 3.], 1.1, [0.1 0.2 0.3 0.4 0.5; 0.2 0.3 0.4 0.5 0.6]; rng = rng)
+ @test x ≈ [0.0940 0.13852 0.17391 0.20250; 0.31450 0.3676 0.45506 0.4880] atol=1.0e-3
+
 end
 
 @testset "nested Clayton copula" begin
@@ -37,22 +33,6 @@ end
  c2 = Clayton_cop(2, 3.)
  cp = Nested_Clayton_cop([c1, c2], 1, 1.1)
 
- Random.seed!(43)
- if VERSION <= v"1.7"
- @test simulate_copula(1, cp)[:,1:2] ≈ [0.514118 0.84089] atol=1.0e-5
- else
- @test simulate_copula(1, cp)[:,1:2] ≈ [0.402091 0.98398] atol=1.0e-5
- end
-
- u = zeros(1,5)
- Random.seed!(43)
- simulate_copula!(u, cp)
- if VERSION <= v"1.7"
- @test u ≈ [0.514118 0.84089 0.870106 0.906233 0.739349] atol=1.0e-5
- else
- @test u[:,1:2] ≈ [0.402091 0.98398] atol=1.0e-5
- end
-
  Random.seed!(43)
  rng = StableRNG(123)
  @test simulate_copula(1, cp; rng = rng) ≈ [0.274511 0.349494 0.8443515 0.5447064 0.44514597] atol=1.0e-5
@@ -198,7 +178,7 @@ end
  @test pvalue(ExactOneSampleKSTest(x[:,2], Uniform(0,1))) > α
  @test pvalue(ExactOneSampleKSTest(x[:,3], Uniform(0,1))) > α
  @test pvalue(ExactOneSampleKSTest(x[:,4], Uniform(0,1))) > α
- 
+
  @test corkendall(x)[1:4,1] ≈ [1.0, 0.60262, 0.60262, 0.2139] atol=1.0e-1
  @test corkendall(x)[3:5,4] ≈ [0.2139, 1.0, 0.6658] atol=1.0e-2
  @test corkendall(x)[6:7,6] ≈ [1.0, 0.2139] atol=1.0e-2