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gofCopula (version 0.3-3)

Goodness-of-Fit Tests for Copulae

Description

Several Goodness-of-Fit (GoF) tests for Copulae are provided. A new hybrid test, Zhang et al. (2016) is implemented which supports all of the individual tests in the package, e.g. Genest et al. (2009) . Estimation methods for the margins are provided and 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. For reproducibility of results, the functions support the definition of seeds. Also all the tests support automatized parallelization of the bootstrapping tasks. The package provides an interface to perform new GoF tests by submitting the test statistic.

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Version

Install

install.packages('gofCopula')

Monthly Downloads

275

Version

0.3-3

License

GPL (>= 3)

Maintainer

Simon Trimborn

Last Published

June 14th, 2020

Functions in gofCopula (0.3-3)

Printing function for objects of class gofCOP

CryptoCurrencies

Volatility-adjusted log returns of the two Cryptocurrencies Bitcoin and Litecoin.

Log returns of european stock indices

Interface with copula class

Log returns of european stock indices

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

Volatility-adjusted log returns of the two Banks Citigroup and Bank of America.

GetHybrid gof test

Plotting function for objects of class gofCOP

gofOutputHybrid

Output Hybrid gof test

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

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

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

The function gofWhichCopula was renamed to gofCopula4Test. Please use gofCopula4Test.

The Sn gof test using the empirical copula

gofRosenblattChisq

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

Implemented copula for a certain test

Combining function for tests

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

gofRosenblattSnB

The SnB test based on the Rosenblatt transformation

Combining function for tests

gofRosenblattSnC

The SnC test based on the Rosenblatt transformation

Function to derive own tests

2 dimensional gof test of Scaillet (2007)

The function gofWhich was renamed to gofTest4Copula. Please use gofTest4Copula.

Applicable gof tests for testing problem

gofRosenblattGamma

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