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gofCopula (version 0.4-1)

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

193

Version

0.4-1

License

GPL (>= 3)

Maintainer

Simon Trimborn

Last Published

April 22nd, 2021

Functions in gofCopula (0.4-1)

The ArchmSnB test based on the Rosenblatt transformation for archimedean copula

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

The ArchmSnC test based on the Rosenblatt transformation for archimedean copula

Log returns of european stock indices

CryptoCurrencies

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

Log returns of european stock indices

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

CopulaTestTable

Applicable dimensions and copula for each test

Combining function for tests

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

Combining function for tests

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

Plotting function for objects of class gofCOP

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

Interface with copula class

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

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

Implemented copula for a certain test

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

Applicable gof tests for testing problem

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

2 dimensional gof test of Scaillet (2007)

gofOutputHybrid

Output Hybrid gof test

GetHybrid gof test

The KS gof test using the empirical copula

gofRosenblattGamma

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

Function to derive own tests

The CvM gof test using the empirical copula

Printing function for objects of class gofCOP

gofRosenblattChisq

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

gofRosenblattSnB

The SnB test based on the Rosenblatt transformation

gofRosenblattSnC

The SnC test based on the Rosenblatt transformation

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