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gofCopula (version 0.1-1)

Goodness-of-Fit Tests for Copulae

Description

Several GoF tests for Copulae are provided. A new hybrid test is implemented which supports all of the individual tests. Estimation methods for the margins are provided. All the tests support parameter estimation and predefined values. The parameters are estimated by pseudo maximum likelihood but if it fails the estimation switches automatically to inversion of Kendall's tau.

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Version

Install

install.packages('gofCopula')

Monthly Downloads

193

Version

0.1-1

License

GPL (>= 3)

Maintainer

Simon Trimborn

Last Published

November 4th, 2015

Functions in gofCopula (0.1-1)

2 dimensional gof test of Scaillet

Implemented copula for a certain test

gofRosenblattSnB

The SnB test based on the Rosenblatt transformation

Gof test using the Anderson-Darling test statistic and the chi-square distribution

Applicable gof tests for testing problem

2 dimensional gof test based on the in-and-out-of-sample approach

Interface with copula class

gofRosenblattSnC

The SnC test based on the Rosenblatt transformation

The Sn gof test using the empirical copula

Hybrid gof test

2 dimensional gof test (Kolmogorov-Smirnof) based on Kendall's process

The Rn gof test from package copula

2 dimensional gof tests based on White's information matrix equality.

Combining function for tests

Gof test using the Anderson-Darling test statistic and the gamma distribution

2 dimensional gof test (Cramer-von Mises) based on Kendall's process

2 dimensional gof test based on the in-and-out-of-sample approach

Combining function for tests