copula (version 0.999-18)

radSymTest: Test of Exchangeability for a Bivariate Copula

Description

Test for assessing the radial symmetry of the underlying multivariate copula based on the empirical copula. The test statistic is a multivariate extension of the definition adopted in the first reference. An approximate p-value for the test statistic is obtained by means of a appropriate bootstrap which can take the presence of ties in the component series of the data into accont; see the second reference.

Usage

radSymTest(x, N = 1000, ties = NA)

Arguments

x

a data matrix that will be transformed to pseudo-observations.

N

number of boostrap iterations to be used to simulate realizations of the test statistic under the null hypothesis.

ties

logical; if TRUE, the boostrap procedure is adapted to the presence of ties in any of the coordinate samples of x; the default value of NA indicates that the presence/absence of ties will be checked for automatically.

Value

An object of class htest which is a list, some of the components of which are

statistic

value of the test statistic.

p.value

corresponding approximate p-value.

Details

More details are available in the second reference.

References

Genest, C. and G. Ne<U+0161>lehov<U+00E1>, J. (2014). On tests of radial symmetry for bivariate copulas. Statistical Papers 55, 1107--1119.

Kojadinovic, I. (2017). Some copula inference procedures adapted to the presence of ties. Computational Statistics and Data Analysis 112, 24--41, http://arxiv.org/abs/1609.05519.

See Also

exchTest, exchEVTest, gofCopula.

Examples

# NOT RUN {
## Data from radially symmetric copulas
radSymTest(rCopula(200, frankCopula(3)))
# }
# NOT RUN {
radSymTest(rCopula(200, normalCopula(0.7, dim = 3)))
# }
# NOT RUN {
## Data from non radially symmetric copulas
radSymTest(rCopula(200, claytonCopula(3)))
# }
# NOT RUN {
radSymTest(rCopula(200, gumbelCopula(2, dim=3)))
# }