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. All the tests support automatized parallelization of the bootstrapping tasks.

Version: 0.2-3
Depends: R (≥ 1.9.0), copula (≥ 0.999-15), foreach, parallel, doParallel, R.utils
Imports: SparseGrid, numDeriv, VineCopula (≥ 2.0.5), methods, stats, MASS, utils
Published: 2016-10-02
Author: Ostap Okhrin, Simon Trimborn, Shulin Zhang, Qian M. Zhou
Maintainer: Simon Trimborn <simon.trimborn at wiwi.hu-berlin.de>
License: GPL (≥ 3)
NeedsCompilation: yes
Citation: gofCopula citation info
Materials: ChangeLog
CRAN checks: gofCopula results

Downloads:

Reference manual: gofCopula.pdf
Package source: gofCopula_0.2-3.tar.gz
Windows binaries: r-devel: gofCopula_0.2-3.zip, r-release: gofCopula_0.2-3.zip, r-oldrel: gofCopula_0.2-3.zip
OS X El Capitan binaries: r-release: gofCopula_0.2-3.tgz
OS X Mavericks binaries: r-oldrel: gofCopula_0.2-3.tgz
Old sources: gofCopula archive

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