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pacotest

swMATH ID: 18927
Software Authors: Malte S. Kurz
Description: R package pacotest. pacotest: Testing for Partial Copulas and the Simplifying Assumption in Vine Copulas. 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.
Homepage: https://cran.r-project.org/web/packages/pacotest/index.html
Source Code:  https://github.com/cran/pacotest
Dependencies: R
Keywords: CRAN; R package; Test; Partial Copulas; Simplifying Assumption; Vine Copulas; Equal Correlation ECORR; Vectorial Independence VI
Related Software: VineCopula; kdecopula; gamCopula; ks; GGMselect; glasso; igraph; CDVine; pencopulaCond; copula; rvinecopulib; vinereg; CDVineCopulaConditional; pyvinecopulib; penRvine; TSP; kdevine; PivotalR; fGarch; bnlearn
Cited in: 5 Documents

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