copula (version 0.8-12)

evTest: Large-sample test of extreme-value dependence

Description

Test of extreme-value dependence based on the empirical copula and max-stability. The test statistics are defined in Kojadinovic and Yan (2009). Approximate p-values for the test statistics are obtained by means of a fast multiplier technique.

Usage

evTest(x, N = 1000)

Arguments

x

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

N

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

Value

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

Details

More details are available in Kojadinovic and Yan (2009). See also Remillard and Scaillet (2009).

References

B. Remillard and O. Scaillet (2009). Testing for equality between two copulas. Journal of Multivariate Analysis, 100(3), pages 377-386. I. Kojadinovic and J. Yan (2009). Large-sample tests of extreme-value dependence for multivariate copulas. Submitted.

See Also

evCopula.

Examples

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

## A three-dimensional example
evTest(rcopula(gumbelCopula(3, dim=3), 200)) 
evTest(rcopula(claytonCopula(3, dim=3), 200))