gofCopula: Goodness-of-Fit Tests for Copulae
نویسندگان
چکیده
Last decades show an increased interest in modeling various types of data through copulae. Different copula models have been developed, which lead to the challenge finding best fitting model for a particular dataset. From other side, strand literature developed list different Goodness-of-Fit (GoF) tests with powers under conditions. Usual practice is selection via p-value GoF test. Although this method not purely correct due fact that non-rejection does imply acception, strategy favoured by practitioners. Unfortunately, often provide contradicting outputs. The proposed R-package brings one umbrella 13 most used copulae - plus their rotated variants together 16 and hybrid one. package offers flexible margin modeling, automatized parallelization, parameter estimation as well user friendly interface pleasant visualizations results. To illustrate functionality package, two exemplary applications are provided.
منابع مشابه
The Comparison Between Goodness of Fit Tests for Copula
Copula functions as a model can show the relationship between variables. Appropriate copula function for a specific application is a function that shows the dependency between data in a best way. Goodness of fit tests theoretically are the best way in selection of copula function. Different ways of goodness of fit for copula exist. In this paper we will examine the goodness of fit test...
متن کاملGoodness-of-Fit for Revealed Preference Tests
I describe a goodness-of-fit measure for revealed preference tests. This index can be used to measure the degree to which an economic agent violates the model of utility maximization. I calculate the violation indices for a 38 consumers and find that the observed choice behavior is very close to optimizing behavior.
متن کاملOn the Canonical-Based Goodness-of-fit Tests for Multivariate Skew-Normality
It is well-known that the skew-normal distribution can provide an alternative model to the normal distribution for analyzing asymmetric data. The aim of this paper is to propose two goodness-of-fit tests for assessing whether a sample comes from a multivariate skew-normal (MSN) distribution. We address the problem of multivariate skew-normality goodness-of-fit based on the empirical Laplace tra...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: R Journal
سال: 2021
ISSN: ['2073-4859']
DOI: https://doi.org/10.32614/rj-2021-060