gofCopula: Goodness-of-Fit Tests for Copulae

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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.

Author
Ostap Okhrin <ostap.okhrin@tu-dresden.de>, Simon Trimborn <simon.trimborn@wiwi.hu-berlin.de>, Shulin Zhang <slzhang@swufe.edu.cn>, Qian M. Zhou <qmzhou@sfu.ca>
Date of publication
2016-10-02 10:12:33
Maintainer
Simon Trimborn <simon.trimborn@wiwi.hu-berlin.de>
License
GPL (>= 3)
Version
0.2-3

View on CRAN

Man pages

AD_tests_stop1
Renamed to gofRosenblattChisq
AD_tests_stop2
Renamed to gofRosenblattGamma
IndexReturns
Log returns of european stock indices.
Rn_tests_stop
Removed due to inconsistencies with the remaining tests
test_gofco
Interface with copula class
test_hybrid
Hybrid gof test
tests11
2 and 3 dimensional gof test based on the...
tests12
2 and 3 dimensional gof test based on the...
tests2
2 and 3 dimensional gof test of Scaillet
tests_CheckTime
Combining function for tests
tests_copula1
The SnB test based on the Rosenblatt transformation
tests_copula2
Gof test using the Anderson-Darling test statistic and the...
tests_copula4
The Sn gof test using the empirical copula
tests_copula6
The SnC test based on the Rosenblatt transformation
tests_copula7
Gof test using the Anderson-Darling test statistic and the...
tests_gof
Combining function for tests
tests_vine11
gof test (Cramer-von Mises) based on Kendall's process
tests_vine12
gof test (Kolmogorov-Smirnof) based on Kendall's process
tests_vine2
2 dimensional gof tests based on White's information matrix...
tests_which1
Applicable gof tests for testing problem
tests_which2
Implemented copula for a certain test

Files in this package

gofCopula
gofCopula/inst
gofCopula/inst/CITATION
gofCopula/NAMESPACE
gofCopula/data
gofCopula/data/IndexReturns.RData
gofCopula/R
gofCopula/R/tests_which.R
gofCopula/R/class_gofCOP.R
gofCopula/R/estimate_margins.R
gofCopula/R/SnK.R
gofCopula/R/functions3d.R
gofCopula/R/goftime.R
gofCopula/R/Rn_tests_stop.R
gofCopula/R/tests_copula_new.R
gofCopula/R/AD_tests_stop.R
gofCopula/R/tests_CheckTime.R
gofCopula/R/functions2d.R
gofCopula/R/margin_param_est.R
gofCopula/R/tests_stat_PIOS.R
gofCopula/R/functions.R
gofCopula/R/tests_vine2.R
gofCopula/R/tests_hybrid.R
gofCopula/R/tests_vine11.R
gofCopula/R/tests_copula_helper.R
gofCopula/R/tests_gof.R
gofCopula/R/tests_vine12.R
gofCopula/R/tests_gofco.R
gofCopula/R/Tstats.R
gofCopula/R/TnK.R
gofCopula/R/tests.R
gofCopula/MD5
gofCopula/DESCRIPTION
gofCopula/ChangeLog
gofCopula/man
gofCopula/man/tests12.Rd
gofCopula/man/AD_tests_stop1.Rd
gofCopula/man/tests_copula6.Rd
gofCopula/man/Rn_tests_stop.Rd
gofCopula/man/tests2.Rd
gofCopula/man/tests_gof.Rd
gofCopula/man/tests_copula1.Rd
gofCopula/man/tests_vine12.Rd
gofCopula/man/tests11.Rd
gofCopula/man/IndexReturns.Rd
gofCopula/man/test_hybrid.Rd
gofCopula/man/tests_CheckTime.Rd
gofCopula/man/test_gofco.Rd
gofCopula/man/tests_vine11.Rd
gofCopula/man/tests_copula2.Rd
gofCopula/man/tests_copula7.Rd
gofCopula/man/tests_vine2.Rd
gofCopula/man/tests_copula4.Rd
gofCopula/man/tests_which1.Rd
gofCopula/man/tests_which2.Rd
gofCopula/man/AD_tests_stop2.Rd