radSymTest {copula} | R Documentation |
Test of Exchangeability for a Bivariate Copula
Description
Test for assessing the radial symmetry of the underlying multivariate copula based on the empirical copula. The test statistic is a multivariate extension of the definition adopted in the first reference. An approximate p-value for the test statistic is obtained by means of a appropriate bootstrap which can take the presence of ties in the component series of the data into accont; see the second reference.
Usage
radSymTest(x, N = 1000, ties = NA)
Arguments
x |
a data matrix that will be transformed to pseudo-observations. |
N |
number of boostrap iterations to be used to simulate realizations of the test statistic under the null hypothesis. |
ties |
logical; if |
Details
More details are available in the second reference.
Value
An object of class
htest
which is a list,
some of the components of which are
statistic |
value of the test statistic. |
p.value |
corresponding approximate p-value. |
References
Genest, C. and G. Nešlehová, J. (2014). On tests of radial symmetry for bivariate copulas. Statistical Papers 55, 1107–1119.
Kojadinovic, I. (2017). Some copula inference procedures adapted to the presence of ties. Computational Statistics and Data Analysis 112, 24–41, https://arxiv.org/abs/1609.05519.
See Also
exchTest
, exchEVTest
, gofCopula
.
Examples
## Data from radially symmetric copulas
radSymTest(rCopula(200, frankCopula(3)))
radSymTest(rCopula(200, normalCopula(0.7, dim = 3)))
## Data from non radially symmetric copulas
radSymTest(rCopula(200, claytonCopula(3)))
radSymTest(rCopula(200, gumbelCopula(2, dim=3)))