evTestC(x, N = 1000)
Kojadinovic, I., Segers, J., and Yan, J. (2011). Large-sample tests of extreme-value dependence for multivariate copulas. The Canadian Journal of Statistics 39, 4, pages 703-720.
Kojadinovic, I. and Yan, J. (2010). Modeling Multivariate Distributions with Continuous Margins Using the copula R Package. Journal of Statistical Software, 34(9), pages 1-20.
evTestK
, evTestA
, evCopula
,
gofEVCopula
, An
.## Do these data come from an extreme-value copula?
evTestC(rCopula(200, gumbelCopula(3)))
evTestC(rCopula(200, claytonCopula(3)))
## Three-dimensional examples
evTestC(rCopula(200, gumbelCopula(3, dim=3)))
evTestC(rCopula(200, claytonCopula(3, dim=3)))
set.seed(101)
G.t <- evTestC(rCopula(200, gumbelCopula(3, dim=3)))
C.t <- evTestC(rCopula(200, claytonCopula(3, dim=3)))
eT3 <- evTestC(rCopula(200, tevCopula(.8, df=3)))
stopifnot(all.equal(G.t$p.value, 0.1543, tolerance=.001),
all.equal(C.t$p.value, 4995/9999990, tolerance= 1e-7),
all.equal(eT3$p.value, 0.407092907092907, tolerance= 1e-7))
Run the code above in your browser using DataLab