gofCopula: Goodness-of-Fit Tests for Copulae

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.

AuthorOstap 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 publication2016-10-02 10:12:33
MaintainerSimon Trimborn <simon.trimborn@wiwi.hu-berlin.de>
LicenseGPL (>= 3)
Version0.2-3

View on CRAN

Functions

gof Man page
gofADChisq Man page
gofADGamma Man page
gofCheckTime Man page
gofco Man page
gofHybrid Man page
gofKendallCvM Man page
gofKendallKS Man page
gofKernel Man page
gofPIOSRn Man page
gofPIOSTn Man page
gofRn Man page
gofRosenblattChisq Man page
gofRosenblattGamma Man page
gofRosenblattSnB Man page
gofRosenblattSnC Man page
gofSn Man page
gofWhich Man page
gofWhichCopula Man page
gofWhite Man page
IndexReturns Man page

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