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gofCopula (version 0.2-4)

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

0.2-4

License

GPL (>= 3)

Maintainer

Simon Trimborn

Last Published

October 17th, 2018

Functions in gofCopula (0.2-4)

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

2 and 3 dimensional gof test of Scaillet

Hybrid gof test

Renamed to gofRosenblattGamma

Removed due to inconsistencies with the remaining tests

gofRosenblattGamma

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

Combining function for tests

The Sn gof test using the empirical copula

gofRosenblattSnB

The SnB test based on the Rosenblatt transformation

gofRosenblattChisq

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

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

Combining function for tests

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

gofRosenblattSnC

The SnC test based on the Rosenblatt transformation

Implemented copula for a certain test

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

Applicable gof tests for testing problem

Log returns of european stock indices.

Interface with copula class

Renamed to gofRosenblattChisq

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