Routines for two different test types, the Constant Conditional Correlation (CCC) test and the Vectorial Independence (VI) test are provided (Kurz and Spanhel (2017) <arXiv:1706.02338>). The tests can be applied to check whether a conditional copula coincides with its partial copula. Functions to test whether a regular vine copula satisfies the so-called simplifying assumption or to test a single copula within a regular vine copula to be a (j-1)-th order partial copula are available. The CCC test comes with a decision tree approach to allow testing in high-dimensional settings.
|Maintainer||Malte S. Kurz <[email protected]>|
|License||MIT + file LICENSE|
|Package repository||View on GitHub|
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