matherealize / simdata

An R package for simulating data
https://matherealize.github.io/simdata/
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Optimize NORTA setup #12

Open matherealize opened 1 year ago

matherealize commented 1 year ago

The NORTA method implemented via simdesign_norta() requires a one time setup to compute the initial correlations for the normal distributions which are then transformed to the final marginals. This setup requires naively p(p-1) univariate optimization problems (where p is the number of desired variables), resulting in a quadratic scaling behaviour.

Can this be optimized?

Feasible steps: