copula (version 0.9-5)

evTestK: Bivariate test of extreme-value dependence based on Kendall's process

Description

Test of extreme-value dependence based on the bivariate probability integral transformation. The test statistic is defined in Ben Ghorbal, Neslehova and Genest (2009).

Usage

evTestK(x, method = "fsample")

Arguments

x

a data matrix.

method

specifies the variance estimation method; can be either "fsample" (finite-sample), "asymptotic" or "jackknife".

Value

• Returns a list whose attributes are:
• statistic
  value of the test statistic.
• pvalue
  corresponding p-value.

Details

The code for this test was generously provided by Johanna Neslehova. More details are available in Appendix B of Ben Ghorbal, Neslehova and Genest (2009).

References

M. Ben Ghorbal, C. Genest, and J. Neslehova (2009). On the test of Ghoudi, Khoudraji, and Rivest for extreme-value dependence. The Canadian Journal of Statistics, 37, pages 1-9.

See Also

evTestC, evCopula, gofEVCopula, Anfun.

Examples

## Do the data come from an extreme-value copula? 
evTestK(rcopula(gumbelCopula(3), 200)) 
evTestK(rcopula(claytonCopula(3), 200))