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gofCopula (version 0.2-2)

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. All the tests support automatized parallelization of the bootstrapping tasks.

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Version

Install

install.packages('gofCopula')

Monthly Downloads

275

Version

0.2-2

License

GPL (>= 3)

Maintainer

Simon Trimborn

Last Published

September 22nd, 2016

Functions in gofCopula (0.2-2)

Renamed to gofRosenblattGamma

Log returns of european stock indices.

gofRosenblattSnB

The SnB test based on the Rosenblatt transformation

Combining function for tests

gofRosenblattChisq

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

Renamed to gofRosenblattChisq

Removed due to inconsistencies with the remaining tests

Interface with copula class

Hybrid gof test

The Sn gof test using the empirical copula

Applicable gof tests for testing problem

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

gofRosenblattGamma

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

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

Implemented copula for a certain test

2 and 3 dimensional gof test based on the in-and-out-of-sample approach

Combining function for tests

2 and 3 dimensional gof test based on the in-and-out-of-sample approach

gofRosenblattSnC

The SnC test based on the Rosenblatt transformation

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