Package: gofCopula 0.4-2

gofCopula: Goodness-of-Fit Tests for Copulae

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.

Authors:Ostap Okhrin <[email protected]>, Simon Trimborn <[email protected]>, Martin Waltz <[email protected]>

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gofCopula.pdf |gofCopula.html✨
gofCopula/json (API)

# Install 'gofCopula' in R:
install.packages('gofCopula', repos = c('https://simontrimborn.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/simontrimborn/gofcopula/issues

Datasets:
  • Banks - Volatility-adjusted log returns of the two Banks Citigroup and Bank of America.
  • CryptoCurrencies - Volatility-adjusted log returns of the two Cryptocurrencies Bitcoin and Litecoin.
  • IndexReturns2D - Log returns of european stock indices
  • IndexReturns3D - Log returns of european stock indices

On CRAN:

27 exports 0.94 score 51 dependencies 1 mentions 28 scripts 297 downloads

Last updated 3 years agofrom:f817a737c1. Checks:OK: 5 NOTE: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKAug 30 2024
R-4.5-winNOTEAug 30 2024
R-4.5-linuxNOTEAug 30 2024
R-4.4-winOKAug 30 2024
R-4.4-macOKAug 30 2024
R-4.3-winOKAug 30 2024
R-4.3-macOKAug 30 2024

Exports:CopulaTestTablegofgofArchmChisqgofArchmGammagofArchmSnBgofArchmSnCgofCheckTimegofcogofCopula4TestgofCustomTestgofCvMgofGetHybridgofKendallCvMgofKendallKSgofKernelgofKSgofOutputHybridgofPIOSRngofPIOSTngofRosenblattChisqgofRosenblattGammagofRosenblattSnBgofRosenblattSnCgofTest4CopulagofWhichgofWhichCopulagofWhite

Dependencies:ADGofTestBayesFactorcirclizeclicodacodetoolscolorspacecontfraccopulacrayondeSolvedoSNOWellipticforeachGlobalOptionsgluegslhmshypergeoiteratorsjpeglatticelifecyclemagrittrMASSMatrixMatrixModelsmvtnormnumDerivpbapplypcaPPpkgconfigprettyunitsprogresspsplineR.methodsS3R.ooR.utilsR6RcppRcppEigenrlangshapesnowSparseGridstablediststringistringrvctrsVineCopulayarrr

Readme and manuals

Help Manual

Help pageTopics
Volatility-adjusted log returns of the two Banks Citigroup and Bank of America.Banks
Applicable dimensions and copula for each testCopulaTestTable
Volatility-adjusted log returns of the two Cryptocurrencies Bitcoin and Litecoin.CryptoCurrencies
Combining function for testsgof
ArchmChisq Gof test using the Anderson-Darling test statistic and the chi-square distributiongofArchmChisq
The ArchmGamma Gof test using the Anderson-Darling test statistic and the gamma distributiongofArchmGamma
The ArchmSnB test based on the Rosenblatt transformation for archimedean copulagofArchmSnB
The ArchmSnC test based on the Rosenblatt transformation for archimedean copulagofArchmSnC
Combining function for testsgofCheckTime
Interface with copula classgofco
Implemented copula for a certain testgofCopula4Test
Function to derive own testsgofCustomTest
The CvM gof test using the empirical copulagofCvM
GetHybrid gof testgofGetHybrid
gof test (Cramer-von Mises) based on Kendall's processgofKendallCvM
gof test (Kolmogorov-Smirnov) based on Kendall's processgofKendallKS
2 dimensional gof test of Scaillet (2007)gofKernel
The KS gof test using the empirical copulagofKS
Output Hybrid gof testgofOutputHybrid
2 and 3 dimensional gof test based on the in-and-out-of-sample approachgofPIOSRn
2 and 3 dimensional gof test based on the in-and-out-of-sample approachgofPIOSTn
Gof test using the Anderson-Darling test statistic and the chi-square distributiongofRosenblattChisq
Gof test using the Anderson-Darling test statistic and the gamma distributiongofRosenblattGamma
The SnB test based on the Rosenblatt transformationgofRosenblattSnB
The SnC test based on the Rosenblatt transformationgofRosenblattSnC
Applicable gof tests for testing problemgofTest4Copula
The function 'gofWhich' was renamed to 'gofTest4Copula'. Please use 'gofTest4Copula'.gofWhich
The function 'gofWhichCopula' was renamed to 'gofCopula4Test'. Please use 'gofCopula4Test'.gofWhichCopula
2 dimensional gof tests based on White's information matrix equality.gofWhite
Log returns of european stock indicesIndexReturns2D
Log returns of european stock indicesIndexReturns3D
Plotting function for objects of class gofCOPplot.gofCOP
Printing function for objects of class gofCOPprint.gofCOP