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

  • the latest development version from GitHub using install_github from the R-package devtools with

    devtools::install_github(repo = "MalteKurz/pacotest")


pacotest 0.2.1

Bug fixes

Reference manual

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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