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.
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References in zbMATH (referenced in 2 articles )
Showing results 1 to 2 of 2.
- Czado, Claudia: Analyzing dependent data with vine copulas. A practical guide with R (2019)
- Schellhase, Christian; Spanhel, Fabian: Estimating non-simplified vine copulas using penalized splines (2018)