Description Usage Arguments Details Value Examples

`gof`

computes for a given dataset and based on the choices of the user either all tests for a given amount of copulae, performs for a given testset every test with all available copulae or computes for given copulae and tests all possible combinations.

1 2 3 4 |

`x` |
A matrix containing the residuals of the data. |

`priority` |
A character string which is either |

`copula` |
A character vector which indicates the copula to test for. |

`tests` |
A character vector which indicates the tests to use. |

`margins` |
Specifies which estimation method shall be used in case that the input data are not in the range [0,1]. The default is |

`dispstr` |
A character string specifying the type of the symmetric positive definite matrix characterizing the elliptical copula. Implemented structures are "ex" for exchangeable and "un" for unstructured, see package |

`M` |
The amount of bootstrap rounds to be performed by each test. Default is 1000. |

`MJ` |
Just for the test gofKernel. Size of bootstrapping sample. |

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

`param.est` |
Shall be either |

`df` |
The degrees of freedom, if not meant to be estimated. Only necessary if tested for |

`df.est` |
Indicates if |

`m` |
Length of blocks. Only necessary if the test |

`delta.J` |
Scaling parameter for the matrix of smoothing parameters. Only necessary if the test |

`nodes.Integration` |
Number of knots of the bivariate Gauss-Legendre quadrature. Only necessary if the test |

`m_b` |
The power of the statistic. Only necessary if the test |

`zeta.m` |
The adjustment parameter. Only necessary if the test |

`b_Rn` |
The bandwidth for the estimation of the first-order partial derivatives based on the empirical copula. Only necessary if the test |

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

If a character vector is given for the argument `copula`

and nothing for `tests`

, then all tests are performed for which the given copulae are implemented. If `tests`

contains a character vector of tests and `copula = NULL`

, then this tests will be performed for all implemented copulae. If character vectors are given for `copula`

and `tests`

, then the tests are performed with the given copulae. If `tests = NULL`

and `copula = NULL`

, then the argument `priority`

catches in and defines the procedure.

The time to compute the entire procedure is always estimated in case that `M`

or `MJ`

are 100 or higher.

For small values of `M`

, initializing the parallization via `processes`

does not make sense. The registration of the parallel processes increases the computation time. Please consider to enable parallelization just for high values of `M`

.

A list containing several objects of `class`

gofCOP with the following components for each copulae

`method` |
a character which informs about the performed analysis |

`erg.tests` |
a matrix with the p-values and test statistics of the individual tests including the hybrid test |

1 2 3 4 | ```
data(IndexReturns)
gof(IndexReturns[c(1:100),c(1:2)], priority = "tests", copula = "normal",
tests = c("gofRosenblattSnB", "gofRosenblattSnC"), M = 20)
``` |

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

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