pacotest (Q30758)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
Testing for Partial Copulas and the Simplifying Assumption in Vine Copulas
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | pacotest |
Testing for Partial Copulas and the Simplifying Assumption in Vine Copulas |
Statements
15 October 2025
0 references
Routines for two different test types, the Constant Conditional Correlation (CCC) test and the Vectorial Independence (VI) test are provided (Kurz and Spanhel (2022) <doi:10.1214/22-EJS2051>). 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.
0 references
Identifiers
15 November 2022
0 references
