gofTest4Copula

<code>gofTest4Copula</code> returns for a given copula and a dimension the
applicable implemented tests.

Several Goodness-of-Fit (GoF) tests for Copulae are provided. A new hybrid test, Zhang et al. (2016) <doi:10.1016/j.jeconom.2016.02.017> is implemented which supports all of the individual tests in the package, e.g. Genest et al. (2009) <doi:10.1016/j.insmatheco.2007.10.005>. 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.

Simon Trimborn

gofCopula

Goodness-of-Fit Tests for Copulae

Ostap Okhrin

Martin Waltz

gofTest4Copula function

<dl><dt>copula</dt>
<dd>The copula to test for. Possible are the copulae 
<code>"normal"</code>, <code>"t"</code>, <code>"clayton"</code>, <code>"gumbel"</code>, 
<code>"frank"</code>, <code>"joe"</code>, <code>"amh"</code>, <code>"galambos"</code>, 
<code>"huslerReiss"</code>, <code>"tawn"</code>, <code>"tev"</code>, <code>"fgm"</code> and 
<code>"plackett"</code>. For the default <code>NULL</code>, all tests in the package are
returned.</dd>
<dt>d</dt>
<dd>The dimension to search for.</dd></dl>

Arguments

Applicable gof tests for testing problem — gofTest4Copula

<dl>

<dt>copula</dt>
<dd>The copula to test for. Possible are the copulae 
<code>"normal"</code>, <code>"t"</code>, <code>"clayton"</code>, <code>"gumbel"</code>, 
<code>"frank"</code>, <code>"joe"</code>, <code>"amh"</code>, <code>"galambos"</code>, 
<code>"huslerReiss"</code>, <code>"tawn"</code>, <code>"tev"</code>, <code>"fgm"</code> and 
<code>"plackett"</code>. For the default <code>NULL</code>, all tests in the package are
returned.</dd>


<dt>d</dt>
<dd>The dimension to search for.</dd>

</dl>

gofTest4Copula: Applicable gof tests for testing problem

Description

Usage

Value

Arguments

Details

Examples