Routines for two different test types, the Equal Correlation (ECORR) test and the Vectorial Independence (VI) test are provided. 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 ECORR test comes with a decision tree approach to allow testing in high-dimensional settings.

Documentation

Manual: pacotest.pdf
Vignette: None available.

Maintainer: Malte S. Kurz <malte.kurz at stat.uni-muenchen.de>

Author(s): Malte S. Kurz*

Install package and any missing dependencies by running this line in your R console:

install.packages("pacotest")

Depends
Imports Rcpp(>=0.11.4), VineCopula(>=2.0.5), numDeriv, ggplot2(>=2.0.0), gridExtra, methods
Suggests testthat, covr
Enhances
Linking to Rcpp, RcppArmadillo
Reverse
depends
pencopulaCond
Reverse
imports
Reverse
suggests
Reverse
enhances
Reverse
linking to

Package pacotest
Materials
URL
Task Views
Version 0.2.2
Published 2017-03-21
License MIT + file LICENSE
BugReports http://github.com/MalteKurz/pacotest/issues
SystemRequirements
NeedsCompilation yes
Citation
CRAN checks pacotest check results
Package source pacotest_0.2.2.tar.gz