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gofCopula (version 0.1-2)

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

0.1-2

License

GPL (>= 3)

Maintainer

Simon Trimborn

Last Published

January 27th, 2016

Functions in gofCopula (0.1-2)

Interface with copula class

Combining function for tests

The Rn gof test from package copula

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

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

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

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

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

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

gofRosenblattSnB

The SnB test based on the Rosenblatt transformation

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

Hybrid gof test

Applicable gof tests for testing problem

Combining function for tests

The Sn gof test using the empirical copula

Implemented copula for a certain test

gofRosenblattSnC

The SnC test based on the Rosenblatt transformation

2 dimensional gof test of Scaillet