exchTest | R Documentation |
Test for assessing the exchangeability of the underlying bivariate copula based on the empirical copula. The test statistics are defined in the first two references. Approximate p-values for the test statistics are obtained by means of a multiplier technique if there are no ties in the component series of the bivariate data, or by means of an appropriate bootstrap otherwise.
exchTest(x, N = 1000, ties = NA, ties.method = eval(formals(rank)$ties.method), m = 0)
x |
a data matrix that will be transformed to pseudo-observations. |
N |
number of multiplier or boostrap iterations to be used to simulate realizations of the test statistic under the null hypothesis. |
ties |
logical; if |
ties.method |
string specifying how ranks should be computed if
there are ties in any of the coordinate samples of |
m |
if |
More details are available in the references.
An object of class
htest
which is a list,
some of the components of which are
statistic |
value of the test statistic. |
p.value |
corresponding approximate p-value. |
Genest, C., G. Nešlehová, J. and Quessy, J.-F. (2012). Tests of symmetry for bivariate copulas. Annals of the Institute of Statistical Mathematics 64, 811–834.
Kojadinovic, I. and Yan, J. (2012). A nonparametric test of exchangeability for extreme-value and left-tail decreasing bivariate copulas. The Scandinavian Journal of Statistics 39:3, 480–496.
Kojadinovic, I. (2017). Some copula inference procedures adapted to the presence of ties. Computational Statistics and Data Analysis 112, 24–41, https://arxiv.org/abs/1609.05519.
radSymTest
, exchEVTest
, gofCopula
.
## Data from an exchangeable copulas exchTest(rCopula(200, gumbelCopula(3))) exchTest(rCopula(200, claytonCopula(3))) ## An asymmetric Khoudraji-Clayton copula kc <- khoudrajiCopula(copula1 = indepCopula(), copula2 = claytonCopula(6), shapes = c(0.4, 0.95)) exchTest(rCopula(200, kc))
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