Combining function for tests

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Description

The computation of a gof test can take very long, especially when the number of bootstrap rounds is high. The function gofCheckTime computes the time which the estimation most likely take.

Usage

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gofCheckTime(copula, x, test, M = 1000, MJ = 10000, print.res = T, margins = "ranks", 
              dispstr = "ex", param = 0.5, param.est = T, df = 4, df.est = T, 
              m = 1, delta.J = 0.5, nodes.Integration = 12, m_b = 0.5, 
              zeta.m = 0, b_Rn = 0.05, processes = 1)

Arguments

copula

A character vector which indicates the copula to test for.

x

A matrix containing the data.

test

A character vector which indicates the test to use.

M

The number of bootstrapping rounds which shall be later taken in the estimation.

MJ

Just for the test gofKernel. Size of bootstrapping sample.

print.res

Logical which defines if the resulting time shall be printed or given as value. Default is TRUE.

margins

Specifies which estimation method shall be used in case that the input data are not in the range [0,1]. The default is "ranks", which is the standard approach to convert data in such a case. Alternatively can the following distributions be specified: "beta", "cauchy", Chi-squared ("chisq"), "f", "gamma", Log normal ("lnorm"), Normal ("norm"), "t", "weibull", Exponential ("exp").

dispstr

A character string specifying the type of the symmetric positive definite matrix characterizing the elliptical copula. Implemented structures are "ex" for exchangeable, "ar1" for AR(1), "toep" for Toeplitz, and "un" for unstructured, see package copula.

param

The copulae parameters to use for each test, if it shall not be estimated.

param.est

Shall be either TRUE or FALSE. TRUE means that param will be estimated.

df

The degrees of freedom, if not meant to be estimated. Only necessary if tested for "t"-copula.

df.est

Indicates if df shall be estimated. Has to be either FALSE or TRUE, where TRUE means that it will be estimated.

m

Length of blocks. Only necessary if the test gofPIOSTn is part of testset.

delta.J

Scaling parameter for the matrix of smoothing parameters. Only necessary if the test gofKernel is part of testset.

nodes.Integration

Number of knots of the bivariate Gauss-Legendre quadrature. Only necessary if the test gofKernel is part of testset.

m_b

The power of the statistic. Only necessary if the test gofRn is part of testset.

zeta.m

The adjustment parameter. Only necessary if the test gofRn is part of testset.

b_Rn

The bandwidth for the estimation of the first-order partial derivatives based on the empirical copula. Only necessary if the test gofRn is part of testset.

processes

The number of parallel processes which are performed to speed up the bootstrapping. Shouldn't be higher than the number of logical processors.

Details

The function estimates the time which the entire gof test will take.

Examples

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data(IndexReturns)

gofCheckTime("normal", IndexReturns[c(1:50),c(1:2)], "gofRosenblattSnC", M = 10000)