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) ). 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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You can install:

  • the latest released version from CRAN with

    install.packages("pacotest")
  • the latest development version from GitHub using install_github from the R-package devtools with

    install.packages("devtools")
    devtools::install_github(repo = "MalteKurz/pacotest")

News

pacotest 0.2.1

Bug fixes

Reference manual

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install.packages("pacotest")

0.3 by Malte S. Kurz, 3 months ago


Report a bug at https://github.com/MalteKurz/pacotest/issues


Browse source code at https://github.com/cran/pacotest


Authors: Malte S. Kurz [aut, cre]


Documentation:   PDF Manual  


MIT + file LICENSE license


Imports Rcpp, VineCopula, numDeriv, ggplot2, gridExtra, methods

Suggests testthat, covr

Linking to Rcpp, RcppArmadillo


Depended on by pencopulaCond.


See at CRAN