pacotest (0.3)

0 users

Testing for Partial Copulas and the Simplifying Assumption in Vine Copulas.

http://cran.r-project.org/web/packages/pacotest

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.

Maintainer: Malte S. Kurz
Author(s): Malte S. Kurz [aut, cre]

License: MIT + file LICENSE

Uses: gridExtra, numDeriv, Rcpp, VineCopula, testthat, covr
Reverse depends: pencopulaCond

Released 3 months ago.


3 previous versions

Ratings

Overall:

  (0 votes)

Documentation:

  (0 votes)

Log in to vote.

Reviews

No one has written a review of pacotest yet. Want to be the first? Write one now.


Related packages:(20 best matches, based on common tags.)


Search for pacotest on google, google scholar, r-help, r-devel.

Visit pacotest on R Graphical Manual.