gofCopula: Goodness-of-Fit Tests for Copulae

Several GoF tests for Copulae are provided. A new hybrid test is implemented which supports all of the individual tests. Estimation methods for the margins are provided. 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.

Version: 0.1-1
Depends: R (≥ 1.9.0), copula
Imports: SparseGrid, numDeriv, VineCopula, methods, stats
Published: 2015-11-04
Author: Ostap Okhrin, Shulin Zhang, Qian M. Zhou, Simon Trimborn
Maintainer: Simon Trimborn <simon.trimborn at wiwi.hu-berlin.de>
License: GPL (≥ 3)
NeedsCompilation: yes
Materials: ChangeLog
CRAN checks: gofCopula results

Downloads:

Reference manual: gofCopula.pdf
Package source: gofCopula_0.1-1.tar.gz
Windows binaries: r-devel: gofCopula_0.1-1.zip, r-release: gofCopula_0.1-1.zip, r-oldrel: gofCopula_0.1-1.zip
OS X Snow Leopard binaries: r-release: not available, r-oldrel: not available
OS X Mavericks binaries: r-release: gofCopula_0.1-1.tgz