gofWhich

Please see and use the function <code>gofTest4Copula</code>.

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

gofWhich 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

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

<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>

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

Description

Usage

Value

Arguments