Goodness-of-Fit Tests for Copulae

Several GoF tests for Copulae are provided. A new hybrid test is implemented which supports all of the individual tests. Estimation methods for the margins are provided. 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. All the tests support automatized parallelization of the bootstrapping tasks.


Reference manual

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0.2-4 by Simon Trimborn, a year ago

Browse source code at

Authors: Ostap Okhrin <[email protected]> , Simon Trimborn <[email protected]> , Shulin Zhang <[email protected]> , Qian M. Zhou <[email protected]>

Documentation:   PDF Manual  

GPL (>= 3) license

Imports SparseGrid, numDeriv, VineCopula, methods, stats, MASS, utils

Depends on copula, foreach, parallel, doParallel, R.utils

See at CRAN