pacotest

MaRDI QIDQ30758swMATHCRANFDO

Authors Malte S. Kurz

Last update 15 October 2025

Copyright license MIT license, File License

Software version identifier 0.4.2, PACKAGES.rds, 0.2.1, 0.2.2, 0.2, 0.3.1, 0.3, 0.4.0, 0.4.1, 0.4.3

Official website https://cran.r-project.org/web/packages/pacotest/index.html

Source code repository https://github.com/cran/pacotest

Description

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.

Cites work

• Testing the simplifying assumption in high-dimensional vine copulas

Cited in

(13)

• Estimating non-simplified vine copulas using penalized splines
• Analyzing dependent data with vine copulas. A practical guide with R
• VineCopula
• Regular vines with strongly chordal pattern of (conditional) independence
• GGMselect
• kdecopula
• gamCopula
• penRvine
• pyvinecopulib
• CDVineCopulaConditional
• pencopulaCond
• Simplified R-vine based forward regression
• Testing the simplifying assumption in high-dimensional vine copulas

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