RVineGofTest: Goodness-of-Fit Tests for R-Vine Copula Models

View source: R/RVineGofTest3.R

RVineGofTestR Documentation

Goodness-of-Fit Tests for R-Vine Copula Models

Description

This function performs a goodness-of-fit test for R-vine copula models. There are 15 different goodness-of-fit tests implemented, described in Schepsmeier (2013).

Usage

RVineGofTest(
  data,
  RVM,
  method = "White",
  statistic = "CvM",
  B = 200,
  alpha = 2
)

Arguments

data

An N x d data matrix (with uniform margins).

RVM

RVineMatrix() objects of the R-vine model under the null hypothesis.
Only the following copula families are allowed in RVM$family due to restrictions in RVineGrad() and RVineHessian()
0 = independence copula
1 = Gaussian copula
2 = Student t copula (t-copula)
3 = Clayton copula
4 = Gumbel copula
5 = Frank copula
6 = Joe copula
13 = rotated Clayton copula (180 degrees; ⁠survival Clayton'') \cr `14` = rotated Gumbel copula (180 degrees; ⁠survival Gumbel”)
16 = rotated Joe copula (180 degrees; “survival Joe”)
23 = rotated Clayton copula (90 degrees)
'24' = rotated Gumbel copula (90 degrees)
'26' = rotated Joe copula (90 degrees)
'33' = rotated Clayton copula (270 degrees)
'34' = rotated Gumbel copula (270 degrees)
'36' = rotated Joe copula (270 degrees)

method

A string indicating the goodness-of-fit method:
"White" = goodness-of-fit test based on White's information matrix equality (default)
"IR" = goodness-of-fit test based on the information ratio
"Breymann" = goodness-of-fit test based on the probability integral transform (PIT) and the aggregation to univariate data by Breymann et al. (2003).
"Berg" = goodness-of-fit test based on the probability integral transform (PIT) and the aggregation to univariate data by Berg and Bakken (2007).
"Berg2" = second goodness-of-fit test based on the probability integral transform (PIT) and the aggregation to univariate data by Berg and Bakken (2007).
"ECP" = goodness-of-fit test based on the empirical copula process (ECP)
"ECP2" = goodness-of-fit test based on the combination of probability integral transform (PIT) and empirical copula process (ECP) (Genest et al. 2009)

statistic

A string indicating the goodness-of-fit test statistic type:
"CvM" = Cramer-von Mises test statistic (univariate for "Breymann", "Berg" and "Berg2", multivariate for "ECP" and "ECP2")
"KS" = Kolmogorov-Smirnov test statistic (univariate for "Breymann", "Berg" and "Berg2", multivariate for "ECP" and "ECP2")
"AD" = Anderson-Darling test statistic (only univariate for "Breymann", "Berg" and "Berg2")

B

an integer for the number of bootstrap steps (default B = 200)
For B = 0 the asymptotic p-value is returned if available, otherwise only the test statistic is returned.
WARNING: If B is chosen too large, computations will take very long.

alpha

an integer of the set ⁠2,4,6,...⁠ for the "Berg2" goodness-of-fit test (default alpha = 2)

Details

method = "White":
This goodness-of fit test uses the information matrix equality of White (1982) and was original investigated by Huang and Prokhorov (2011) for copulas.
Schepsmeier (2012) enhanced their approach to the vine copula case.
The main contribution is that under correct model specification the Fisher Information can be equivalently calculated as minus the expected Hessian matrix or as the expected outer product of the score function. The null hypothesis is

H_0: \boldsymbol{H}(\theta) + \boldsymbol{C}(\theta) = 0

against the alternative

H_1: \boldsymbol{H}(\theta) + \boldsymbol{C}(\theta) \neq 0 ,

where \boldsymbol{H}(\theta) is the expected Hessian matrix and \boldsymbol{C}(\theta) is the expected outer product of the score function.
For the calculation of the test statistic we use the consistent maximum likelihood estimator \hat{\theta} and the sample counter parts of \boldsymbol{H}(\theta) and \boldsymbol{C}(\theta).
The correction of the Covariance-Matrix in the test statistic for the uncertainty in the margins is skipped. The implemented test assumes that there is no uncertainty in the margins. The correction can be found in Huang and Prokhorov (2011) for bivariate copulas and in Schepsmeier (2013) for vine copulas. It involves multi-dimensional integrals.

method = "IR":
As the White test the information matrix ratio test is based on the expected Hessian matrix \boldsymbol{H}(\theta) and the expected outer product of the score function \boldsymbol{C}(\theta).

H_0:-\boldsymbol{H}(\theta)^{-1}\boldsymbol{C}(\theta) = I_{p}

against the alternative

H_1: -\boldsymbol{H}(\theta)^{-1}\boldsymbol{C}(\theta) \neq I_{p} .

The test statistic can then be calculated as

IR_n:=tr(\Phi(\theta))/p

with \Phi(\theta)=-\boldsymbol{H}(\theta)^{-1}\boldsymbol{C}(\theta), p is the number of parameters, i.e. the length of \theta, and tr(A) is the trace of the matrix A
For details see Schepsmeier (2013)

method = "Breymann", method = "Berg" and method = "Berg2":
These tests are based on the multivariate probability integral transform (PIT) applied in RVinePIT(). The multivariate data y_{i} returned form the PIT are aggregated to univariate data by different aggregation functions \Gamma(\cdot) in the sum

s_t=\sum_{i=1}^d \Gamma(y_{it}), t=1,...,n

. In Breymann et al. (2003) the weight function is suggested as \Gamma(\cdot)=\Phi^{-1}(\cdot)^2, while in Berg and Bakken (2007) the weight function is either \Gamma(\cdot)=|\cdot-0.5| (method="Berg") or \Gamma(\cdot)=(\cdot-0.5)^{\alpha},\alpha=2,4,6,... (method="Berg2").
Furthermore, the "Berg" and "Berg2" test are based on the order statistics of the PIT returns.
See Berg and Bakken (2007) or Schepsmeier (2013) for details.

method = "ECP" and method = "ECP2":
Both tests are test for H_0: C \in C_0 against H_1: C \notin C_0 where C denotes the (vine) copula distribution function and C_0 is a class of parametric (vine) copulas with \Theta\subseteq R^p being the parameter space of dimension p. They are based on the empirical copula process (ECP)

\hat{C}_n(u)-C_{\hat{\theta}_n}(u),

with u=(u_1,\ldots,u_d)\in[0,1]^d and \hat{C}_n(u) = \frac{1}{n+1}\sum_{t=1}^n \boldsymbol{1}_{\{U_{t1}\leq u_1,\ldots,U_{td}\leq u_d \}} . The ECP is utilized in a multivariate Cramer-von Mises (CvM) or multivariate Kolmogorov-Smirnov (KS) based test statistic. An extension of the ECP-test is the combination of the multivariate PIT approach with the ECP. The general idea is that the transformed data of a multivariate PIT should be "close" to the independence copula Genest et al. (2009). Thus a distance of CvM or KS type between them is considered. This approach is called ECP2. Again we refer to Schepsmeier (2013) for details.

Value

For method = "White":

White

test statistic

p.value

p-value, either asymptotic for B = 0 or bootstrapped for B > 0

For method = "IR":

IR

test statistic (raw version as stated above)

p.value

So far no p-value is returned nigher a asymptotic nor a bootstrapped one. How to calculated a bootstrapped p-value is explained in Schepsmeier (2013). Be aware, that the test statistics than have to be adjusted with the empirical variance.

For method = "Breymann", method = "Berg" and method = "Berg2":

CvM, KS, AD

test statistic according to the choice of statistic

p.value

p-value, either asymptotic for B = 0 or bootstrapped for B > 0. A asymptotic p-value is only available for the Anderson-Darling test statistic if the R-package ADGofTest is loaded.
Furthermore, a asymptotic p-value can be calculated for the Kolmogorov-Smirnov test statistic. For the Cramer-von Mises no asymptotic p-value is available so far.

For method = "ECP" and method = "ECP2":

CvM, KS

test statistic according to the choice of statistic

p.value

bootstrapped p-value


Warning: The code for all the p-values are not yet approved since some of them are moved from R-code to C-code. If you need p-values the best way is to write your own algorithm as suggested in Schepsmeier (2013) to get bootstrapped p-values.

Author(s)

Ulf Schepsmeier

References

Berg, D. and H. Bakken (2007) A copula goodness-of-fit approach based on the conditional probability integral transformation. https://www.danielberg.no/publications/Btest.pdf

Breymann, W., A. Dias and P. Embrechts (2003) Dependence structures for multivariate high-frequency data in finance. Quantitative Finance 3, 1-14

Genest, C., B. Remillard, and D. Beaudoin (2009) Goodness-of-fit tests for copulas: a review and power study. Insur. Math. Econ. 44, 199-213.

Huang, w. and A. Prokhorov (2011). A goodness-of-fit test for copulas. to appear in Econometric Reviews

Schepsmeier, U. (2013) A goodness-of-fit test for regular vine copula models. Preprint https://arxiv.org/abs/1306.0818

Schepsmeier, U. (2015) Efficient information based goodness-of-fit tests for vine copula models with fixed margins. Journal of Multivariate Analysis 138, 34-52.

White, H. (1982) Maximum likelihood estimation of misspecified models, Econometrica, 50, 1-26.

See Also

BiCopGofTest(), RVinePIT()

Examples

## time-consuming example

# load data set
data(daxreturns)

# select the R-vine structure, families and parameters
RVM <- RVineStructureSelect(daxreturns[,1:5], c(1:6))

# White test with asymptotic p-value
RVineGofTest(daxreturns[,1:5], RVM, B = 0)

# ECP2 test with Cramer-von-Mises test statistic and a bootstrap
# with 200 replications for the calculation of the p-value
RVineGofTest(daxreturns[,1:5], RVM, method = "ECP2",
             statistic = "CvM", B = 200)



VineCopula documentation built on Sept. 11, 2024, 5:26 p.m.