evTest {copula} | R Documentation |
Test of extreme-value dependence based on the empirical copula and max-stability. The test statistics are defined in Kojadinovic and Yan (2009). Approximate p-values for the test statistics are obtained by means of a fast multiplier technique.
evTest(x, N = 1000)
x |
a data matrix that will be transformed to pseudo-observations. |
N |
number of multiplier iterations to be used to simulate realizations of the test statistic under the null hypothesis. |
More details are available in Kojadinovic and Yan (2009). See also Remillard and Scaillet (2009).
Returns a list whose attributes are:
statistic |
value of the test statistic. |
pvalue |
corresponding approximate p-value. |
B. Remillard and O. Scaillet (2009). Testing for equality between two copulas. Journal of Multivariate Analysis, 100(3), pages 377-386.
I. Kojadinovic and J. Yan (2009). Large-sample tests of extreme-value dependence for multivariate copulas. Submitted.
## Do the data come from an extreme-value copula? evTest(rcopula(gumbelCopula(3), 200)) evTest(rcopula(claytonCopula(3), 200)) ## A three-dimensional example evTest(rcopula(gumbelCopula(3, dim=3), 200)) evTest(rcopula(claytonCopula(3, dim=3), 200))