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
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imports
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suggests
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enhances
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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