[R] How to speed up a for() loop

simona.costanzo at ubs.com
2011-02-17T14:48:44Z

Dear all,

Does anyone have any idea on how to speed up the for() loop below.
Currently it takes approximately 2 minutes and 30 seconds.

Because of the size of Nsim and N, simulating a multivariate normal
(instead of simulating Nsim times a vector of N normal distributions)
would require too much memory space.

Many thanks for your kind help,

Simona


N=3000
PD=runif(N,0,1)
cutoff.=qnorm(PD)

rho.=0.1

Nsim=100000
simPD.vec=0*(1:Nsim)

systemic = rnorm(Nsim,0,1);

for (i in 1:Nsim)
{
R.vec=sqrt(rho.)*systemic[i]+sqrt(1-rho.)*rnorm(N,0,1)
simPD.vec[i]=length(R.vec[R.vec<cutoff.])
}



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