pacotest: Testing for Partial Copulas and the Simplifying Assumption in Vine Copulas

Routines for two different test types, the Constant Conditional Correlation (CCC) test and the Vectorial Independence (VI) test are provided (Kurz and Spanhel (2017) <arXiv:1706.02338>). 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 CCC test comes with a decision tree approach to allow testing in high-dimensional settings.

Version: 0.3
Imports: Rcpp (≥ 0.11.4), VineCopula (≥ 2.0.5), numDeriv, ggplot2 (≥ 2.0.0), gridExtra, methods
LinkingTo: Rcpp, RcppArmadillo
Suggests: testthat, covr
Published: 2018-03-12
Author: Malte S. Kurz [aut, cre]
Maintainer: Malte S. Kurz <malte.kurz at>
License: MIT + file LICENSE
NeedsCompilation: yes
Citation: pacotest citation info
Materials: README NEWS
CRAN checks: pacotest results


Reference manual: pacotest.pdf
Package source: pacotest_0.3.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X El Capitan binaries: r-release: pacotest_0.3.tgz
OS X Mavericks binaries: r-oldrel: pacotest_0.2.2.tgz
Old sources: pacotest archive

Reverse dependencies:

Reverse depends: pencopulaCond


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