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gofCopula (version 0.4-2)

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

367

Version

0.4-2

License

GPL (>= 3)

Maintainer

Simon Trimborn

Last Published

May 9th, 2025

Functions in gofCopula (0.4-2)

2 dimensional gof test of Scaillet (2007)

Function to derive own tests

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

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

GetHybrid gof test

gofOutputHybrid

Output Hybrid gof test

The CvM gof test using the empirical copula

The KS gof test using the empirical copula

Combining function for tests

Implemented copula for a certain test

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

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

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

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

gofRosenblattSnB

The SnB test based on the Rosenblatt transformation

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

Applicable gof tests for testing problem

gofRosenblattChisq

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

gofRosenblattGamma

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

gofRosenblattSnC

The SnC test based on the Rosenblatt transformation

Printing function for objects of class gofCOP

Printing function for an object of class goftime. goftime objects are created by the function gofCheckTime.

Plotting function for objects of class gofCOP

Interface with copula class

Combining function for tests

The ArchmSnB test based on the Rosenblatt transformation for archimedean copula

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

Log returns of european stock indices

Log returns of european stock indices

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

The ArchmSnC test based on the Rosenblatt transformation for archimedean copula

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

CryptoCurrencies

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

CopulaTestTable

Applicable dimensions and copula for each test