NEWS.md

In pacotest: Testing for Partial Copulas and the Simplifying Assumption in Vine Copulas

pacotest 0.4.1

Updates and maintenance

• The main reference was published in the Electronic Journal of Statistics
• Change maintainer mail address

pacotest 0.4.1

Updates, refactoring and bug fixes

• Major cleanup and refactoring of functionality without user interface #38
• pacotest is now also listed on r-universe (https://maltekurz.r-universe.dev/ui#builds)
• Fix bugs in the computation of the Ginv and Omega matrix #37 & #39

pacotest 0.4.0

Updates

• Change of default parameters! By default the CCC test is now being computed under consideration of estimation uncertainty of the probability integral transforms, i.e., with options withEstUncert = TRUE and estUncertWithRanks = TRUE. Before, up to version 0.3.1, both parameters defaulted to FALSE.
• Note that when calling pacotest(U,W,'CCC'), the default options for the CCC test are used (cf. pacotestset), but the two parameters withEstUncert = FALSE and estUncertWithRanks = FALSE are altered. In contrast when calling pacotestOptions = pacotestset('CCC'), the two parameters are set to withEstUncert = TRUE and estUncertWithRanks = TRUE. For the CCC test, under the default setting, it is assumed that estimated PPITs are provided and the test statistic is computed under consideration of estimation uncertainty of the probability integral transforms, i.e., withEstUncert = TRUE and estUncertWithRanks = TRUE. To apply pacotest with withEstUncert = TRUE, three additional inputs have to be provided (data, svcmDataFrame and cPitData).
• In the vine copula context, PPITs are usually estimated and not known. Therefore, in the vine copula context it is recommended to use the functions pacotestRvineSeq or pacotestRvineSingleCopula instead of pacotest. These functions automatically pass through the additional arguments data, svcmDataFrame and cPitData to the function pacotest and the CCC test can be applied in its default setting with consideration of estimation uncertainty of the probability integral transforms, i.e., withEstUncert = TRUE and estUncertWithRanks = TRUE.
• Continuous integration is now done with github actions (https://github.com/MalteKurz/pacotest/actions) instead of travis and appveyor.

Minor improvements and bug fixes

• Fixed a couple of typos in the documentation.
• Updated the reference to Spanhel, F. and M. S. Kurz (2019), "Simplified vine copula models: Approximations based on the simplifying assumption", Electronic Journal of Statistics 13 (1), 1254-1291.

pacotest 0.3.1

Updates

• The default method for generating from a discrete uniform distribution changed (R version >=3.6.0). Regression test results have been adapted accordingly.

pacotest 0.3

Updates

• Renaming of ECORR test to CCC test to be in line with the corresponding paper (Kurz and Spanhel (2017) https://arxiv.org/abs/1706.02338)
• Added an additional, more informative, output, testResultSummary, to pacotestRvineSeq()
• Option, stopIfRejected, added to pacotestRvineSeq(), which allows the user to stop the sequential test procedure in case of a rejection
• Usage of Bonferroni correction in pacotestRvineSeq()
• Default value of aggInfo is now set to meanAll to be in line with the paper

Minor improvements and bug fixes

• Bug fix in extractSubTree; Added a corresponding unit test
• Stabilization of numerical derivatives in edge cases for the copula parameters
• Don't use the aggregated information for computing the test statistic with the Gamma0 partition
• Fixed an edge case becoming relevant when almost all copulas in a vine copula are set to independence copulas

pacotest 0.2.2

Bug fixes

• #24 removed calls of floating-point function floor on integers (caused installation failures on solaris)
• #23 prevent nan's in unsigned int, which is outside the range of representable values (caused memtest note on CRAN)

pacotest 0.2.1

Bug fixes

• #14 removed calls of floating-point functions on integers (caused installation failures on solaris)
• #15 prevent nan's in unsigned int, which is outside the range of representable values (caused memtest note on CRAN)
• #16 added a side argument to calls of grad
• #17 completed the omega matrix for asmpt. with ranks

pacotest documentation built on Nov. 10, 2022, 6:15 p.m.