Testing for Partial Copulas and the Simplifying Assumption in Vine Copulas

Routines for two different test types, the Constant Conditional Correlation (CCC) test and the Vectorial Independence (VI) test are provided (Kurz and Spanhel (2017) ). 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.


Travis-CI Build Status AppVeyor Build Status CRAN_Status_Badge Coverage Status

You can install:

  • the latest released version from CRAN with

    install.packages("pacotest")
  • the latest development version from GitHub using install_github from the R-package devtools with

    install.packages("devtools")
    devtools::install_github(repo = "MalteKurz/pacotest")

News

pacotest 0.3.1

Updates

  • The default method for generating from a discrete uniform distribution changed (R version >=3.6.0). Regression test results have been adapted accordingly.

pacotest 0.3

Updates

  • Renaming of ECORR test to CCC test to be in line with the corresponding paper (Kurz and Spanhel (2017) https://arxiv.org/abs/1706.02338)
  • Added an additional, more informative, output, testResultSummary, to pacotestRvineSeq()
  • Option, stopIfRejected, added to pacotestRvineSeq(), which allows the user to stop the sequential test procedure in case of a rejection
  • Usage of Bonferroni correction in pacotestRvineSeq()
  • Default value of aggInfo is now set to meanAll to be in line with the paper

Minor improvements and bug fixes

  • Bug fix in extractSubTree; Added a corresponding unit test
  • Stabilization of numerical derivatives in edge cases for the copula parameters
  • Don't use the aggregated information for computing the test statistic with the Gamma0 partition
  • Fixed an edge case becoming relevant when almost all copulas in a vine copula are set to independence copulas

pacotest 0.2.2

Bug fixes

  • #24 removed calls of floating-point function floor on integers (caused installation failures on solaris)
  • #23 prevent nan's in unsigned int, which is outside the range of representable values (caused memtest note on CRAN)

pacotest 0.2.1

Bug fixes

  • #14 removed calls of floating-point functions on integers (caused installation failures on solaris)
  • #15 prevent nan's in unsigned int, which is outside the range of representable values (caused memtest note on CRAN)
  • #16 added a side argument to calls of grad
  • #17 completed the omega matrix for asmpt. with ranks

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("pacotest")

0.3.1 by Malte S. Kurz, a month ago


Report a bug at https://github.com/MalteKurz/pacotest/issues


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


Authors: Malte S. Kurz [aut, cre]


Documentation:   PDF Manual  


MIT + file LICENSE license


Imports Rcpp, VineCopula, numDeriv, ggplot2, gridExtra, methods

Suggests testthat, covr

Linking to Rcpp, RcppArmadillo


Depended on by pencopulaCond.


See at CRAN