Routines for two different test types, the Constant Conditional Correlation (CCC) test and the Vectorial Independence (VI) test are provided (Kurz and Spanhel (2022) <doi:10.1214/22-EJS2051>). 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.
Package details |
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Maintainer | Malte S. Kurz <mkurz-software@gmx.de> |
License | MIT + file LICENSE |
Version | 0.4.2 |
Package repository | View on GitHub |
Installation |
Install the latest version of this package by entering the following in R:
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