TwoCop-package: Nonparametric test of equality between two copulas
In TwoCop: Nonparametric test of equality between two copulas
Description
Details
Author(s)
References
Description
This package implements the nonparametric test of equality
between two copulas proposed by Remillard and Scaillet (2009) in their JMVA
paper. The test is based on the Cramer-von-Mises statistic between the two
empirical copulas. An approximate p-value is returned.
Details
Package: TwoCop
Type: Package
Version: 1.0
Date: 2012-10-17
License: GPL-2
The function TwoCop provides an approximate p-value for the test of equality
between two copulas.
Author(s)
Bruno Remillard and Jean-Francois Plante
Maintainer: Bruno Remillard <bruno.remillard@hec.ca>
References
Remillard, B. & Scaillet, O. (2009) Testing for equality between two copulas. Journal of Multivariate Analysis, 100, 377-386.
TwoCop documentation built on May 2, 2019, 1:29 p.m.
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Description Details Author(s) References
Description
This package implements the nonparametric test of equality between two copulas proposed by Remillard and Scaillet (2009) in their JMVA paper. The test is based on the Cramer-von-Mises statistic between the two empirical copulas. An approximate p-value is returned.
Details
| Package: | TwoCop |
| Type: | Package |
| Version: | 1.0 |
| Date: | 2012-10-17 |
| License: | GPL-2 |
The function TwoCop provides an approximate p-value for the test of equality
between two copulas.
Author(s)
Bruno Remillard and Jean-Francois Plante
Maintainer: Bruno Remillard <bruno.remillard@hec.ca>
References
Remillard, B. & Scaillet, O. (2009) Testing for equality between two copulas. Journal of Multivariate Analysis, 100, 377-386.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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