CRAN/E | gofCopula

gofCopula

Goodness-of-Fit Tests for Copulae

Installation

About

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.

Citation gofCopula citation info

Key Metrics

Version 0.4-1
R ≥ 1.9.0
Published 2021-04-22 1071 days ago
Needs compilation? yes
License GPL (≥ 3)
CRAN checks gofCopula results

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Maintainer

Maintainer

Simon Trimborn

trimborn.econometrics@gmail.com

Authors

Ostap Okhrin
Simon Trimborn
Martin Waltz

Material

ChangeLog
Reference manual
Package source

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

gofCopula archive

Depends

R ≥ 1.9.0
copula ≥ 1.0-1

Imports

foreach
parallel
doSNOW
R.utils
SparseGrid
numDeriv
VineCopula ≥ 2.0.5
methods
stats
MASS
utils
yarrr
progress
crayon