gofCopula: Goodness-of-Fit Tests for Copulae
Version 0.2-3

Several GoF tests for Copulae are provided. A new hybrid test is implemented which supports all of the individual tests. Estimation methods for the margins are provided. 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. All the tests support automatized parallelization of the bootstrapping tasks.

Getting started

Package details

AuthorOstap Okhrin <[email protected]>, Simon Trimborn <[email protected]>, Shulin Zhang <[email protected]>, Qian M. Zhou <[email protected]>
Date of publication2016-10-02 10:12:33
MaintainerSimon Trimborn <[email protected]>
LicenseGPL (>= 3)
Version0.2-3
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("gofCopula")

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gofCopula documentation built on May 29, 2017, 6:33 p.m.