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gofCopula  

Goodness-of-Fit Tests for Copulae
View on CRAN: Click here


Download and install gofCopula package within the R console
Install from CRAN:
install.packages("gofCopula")

Install from Github:
library("remotes")
install_github("cran/gofCopula")

Install by package version:
library("remotes")
install_version("gofCopula", "0.4-1")



Attach the package and use:
library("gofCopula")
Maintained by
Simon Trimborn
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2015-11-04
Latest Update: 2021-04-22
Description:
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.
How to cite:
Simon Trimborn (2015). gofCopula: Goodness-of-Fit Tests for Copulae. R package version 0.4-1, https://cran.r-project.org/web/packages/gofCopula
Previous versions and publish date:
0.1-1 (2015-11-04 19:04), 0.1-2 (2016-01-28 00:14), 0.1-3 (2016-06-13 13:07), 0.2-1 (2016-09-16 18:15), 0.2-2 (2016-09-22 16:51), 0.2-3 (2016-10-02 10:12), 0.2-4 (2018-10-17 18:00), 0.3-1 (2020-01-23 14:50), 0.3-2 (2020-03-26 11:10), 0.3-3 (2020-06-14 16:30)
Other packages that cited gofCopula R package
View gofCopula citation profile
Other R packages that gofCopula depends, imports, suggests or enhances
Functions, R codes and Examples using the gofCopula R package
Some associated functions: Banks . CopulaTestTable . CryptoCurrencies . IndexReturns2D . IndexReturns3D . gof . gofArchmChisq . gofArchmGamma . gofArchmSnB . gofArchmSnC . gofCheckTime . gofCopula4Test . gofCustomTest . gofCvM . gofGetHybrid . gofKS . gofKendallCvM . gofKendallKS . gofKernel . gofOutputHybrid . gofPIOSRn . gofPIOSTn . gofRosenblattChisq . gofRosenblattGamma . gofRosenblattSnB . gofRosenblattSnC . gofTest4Copula . gofWhich . gofWhichCopula . gofWhite . gofco . plot.gofCOP . print.gofCOP . 
Some associated R codes: ArchmRtrans.R . Copula4Test.R . CopulaTestTable.R . Test4Copula.R . class_gofCOP_plot.R . class_gofCOP_print.R . datasets.R . internal_PIOS_clayton.R . internal_PIOS_fgm.R . internal_PIOS_frank.R . internal_PIOS_functions.R . internal_PIOS_galambos.R . internal_PIOS_gumbel.R . internal_PIOS_joe.R . internal_PIOS_normal.R . internal_PIOS_plackett.R . internal_PIOS_t.R . internal_RosenblattTrans.R . internal_Tstats.R . internal_bootstrap.R . internal_est_margin_param.R . internal_est_margins.R . internal_est_time.R . internal_extract_cop_obj.R . internal_hybrid.R . internal_param_est.R . internal_rotateCopula.R . test_GetHybrid.R . test_HybridOutput.R . tests_ArchmChisq.R . tests_ArchmGamma.R . tests_ArchmSnB.R . tests_ArchmSnC.R . tests_CheckTime.R . tests_CustomTest.R . tests_KS.R . tests_KendallCvM.R . tests_KendallKS.R . tests_Kernel.R . tests_PIOSRn.R . tests_PIOSTn.R . tests_RosenblattChisq.R . tests_RosenblattGamma.R . tests_RosenblattSnB.R . tests_RosenblattSnC.R . tests_White.R . tests_gof.R . tests_gofCvM.R . tests_gofco.R .  Full gofCopula package functions and examples
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