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.


News

Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.

install.packages("gofCopula")

0.2-4 by Simon Trimborn, 4 months ago


Browse source code at https://github.com/cran/gofCopula


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