pacotest

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) <arXiv:1706.02338>). 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.

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Description file content

Package
pacotest
Type
Package
Title
Testing for Partial Copulas and the Simplifying Assumption in Vine Copulas
Version
0.3
Date
2018-03-12
Maintainer
Malte S. Kurz
Description
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.
License
MIT + file LICENSE
Imports
Rcpp (>= 0.11.4), VineCopula (>= 2.0.5), numDeriv, ggplot2(>= 2.0.0), gridExtra, methods
LinkingTo
Rcpp, RcppArmadillo
Suggests
testthat, covr
BugReports
https://github.com/MalteKurz/pacotest/issues
NeedsCompilation
yes
Packaged
2018-03-12 17:33:01 UTC; malte
Author
Malte S. Kurz [aut, cre]
Repository
CRAN
Date/Publication
2018-03-12 19:19:20 UTC

install.packages('pacotest')

0.3

3 months ago

Malte S. Kurz

MIT + file LICENSE

Imports

Rcpp (>= 0.11.4), VineCopula (>= 2.0.5), numDeriv, ggplot2(>= 2.0.0), gridExtra, methods

Suggests

testthat, covr

Discussions