Goodness-of-Fit Tests for Copulae

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Documentation for package ‘gofCopula’ version 0.4-1

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Banks Volatility-adjusted log returns of the two Banks Citigroup and Bank of America.
CopulaTestTable Applicable dimensions and copula for each test
CryptoCurrencies Volatility-adjusted log returns of the two Cryptocurrencies Bitcoin and Litecoin.
gof Combining function for tests
gofArchmChisq ArchmChisq Gof test using the Anderson-Darling test statistic and the chi-square distribution
gofArchmGamma The ArchmGamma Gof test using the Anderson-Darling test statistic and the gamma distribution
gofArchmSnB The ArchmSnB test based on the Rosenblatt transformation for archimedean copula
gofArchmSnC The ArchmSnC test based on the Rosenblatt transformation for archimedean copula
gofCheckTime Combining function for tests
gofco Interface with copula class
gofCopula4Test Implemented copula for a certain test
gofCustomTest Function to derive own tests
gofCvM The CvM gof test using the empirical copula
gofGetHybrid GetHybrid gof test
gofKendallCvM gof test (Cramer-von Mises) based on Kendall's process
gofKendallKS gof test (Kolmogorov-Smirnov) based on Kendall's process
gofKernel 2 dimensional gof test of Scaillet (2007)
gofKS The KS gof test using the empirical copula
gofOutputHybrid Output Hybrid gof test
gofPIOSRn 2 and 3 dimensional gof test based on the in-and-out-of-sample approach
gofPIOSTn 2 and 3 dimensional gof test based on the in-and-out-of-sample approach
gofRosenblattChisq Gof test using the Anderson-Darling test statistic and the chi-square distribution
gofRosenblattGamma Gof test using the Anderson-Darling test statistic and the gamma distribution
gofRosenblattSnB The SnB test based on the Rosenblatt transformation
gofRosenblattSnC The SnC test based on the Rosenblatt transformation
gofTest4Copula Applicable gof tests for testing problem
gofWhich The function 'gofWhich' was renamed to 'gofTest4Copula'. Please use 'gofTest4Copula'.
gofWhichCopula The function 'gofWhichCopula' was renamed to 'gofCopula4Test'. Please use 'gofCopula4Test'.
gofWhite 2 dimensional gof tests based on White's information matrix equality.
IndexReturns2D Log returns of european stock indices
IndexReturns3D Log returns of european stock indices
plot.gofCOP Plotting function for objects of class gofCOP
print.gofCOP Printing function for objects of class gofCOP