Goodness-of-Fit Tests for Copulae
Applicable dimensions and copula for each test
Combining function for tests
ArchmChisq Gof test using the Anderson-Darling test statistic and the ...
The ArchmGamma Gof test using the Anderson-Darling test statistic and ...
The ArchmSnB test based on the Rosenblatt transformation for archimede...
The ArchmSnC test based on the Rosenblatt transformation for archimede...
Combining function for tests
Interface with copula class
Implemented copula for a certain test
Function to derive own tests
The CvM gof test using the empirical copula
GetHybrid gof test
gof test (Cramer-von Mises) based on Kendall's process
gof test (Kolmogorov-Smirnov) based on Kendall's process
2 dimensional gof test of Scaillet (2007)
The KS gof test using the empirical copula
Output Hybrid gof test
2 and 3 dimensional gof test based on the in-and-out-of-sample approac...
2 and 3 dimensional gof test based on the in-and-out-of-sample approac...
Gof test using the Anderson-Darling test statistic and the chi-square ...
Gof test using the Anderson-Darling test statistic and the gamma distr...
The SnB test based on the Rosenblatt transformation
The SnC test based on the Rosenblatt transformation
Applicable gof tests for testing problem
The function gofWhich was renamed to gofTest4Copula. Please use `g...
The function gofWhichCopula was renamed to gofCopula4Test. Please ...
2 dimensional gof tests based on White's information matrix equality.
Plotting function for objects of class gofCOP
Printing function for objects of class gofCOP
Printing function for an object of class goftime. goftime objects are ...
Several Goodness-of-Fit (GoF) tests for Copulae are provided. A new hybrid test, Zhang et al. (2016) <doi:10.1016/j.jeconom.2016.02.017> is implemented which supports all of the individual tests in the package, e.g. Genest et al. (2009) <doi:10.1016/j.insmatheco.2007.10.005>. Estimation methods for the margins are provided and all the tests support parameter estimation and predefined values. The parameters are estimated by pseudo maximum likelihood but if it fails the estimation switches automatically to inversion of Kendall's tau. For reproducibility of results, the functions support the definition of seeds. Also all the tests support automatized parallelization of the bootstrapping tasks. The package provides an interface to perform new GoF tests by submitting the test statistic.