copula (version 0.999-1)

evTestK: Bivariate test of extreme-value dependence based on Kendall's process

Description

Test of extreme-value dependence based on the bivariate probability integral transformation. The test statistic is defined in Ben Ghorbal, Nešlehová and Genest (2009).

Usage

evTestK(x, method = c("fsample","asymptotic","jackknife"))

Arguments

x

a data matrix.

method

specifies the variance estimation method; can be either "fsample" (finite-sample, the default), "asymptotic" or "jackknife".

Value

• Returns a list whose attributes are:
• statistic
  value of the test statistic.
• p.value
  corresponding p-value.

Details

The code for this test was generously provided by Johanna Nešlehová. More details are available in Appendix B of Ben Ghorbal, Nešlehová and Genest (2009).

References

Ghorbal, M. B., Genest, C., and Nešlehová, J. (2009) On the test of Ghoudi, Khoudraji, and Rivest for extreme-value dependence. The Canadian Journal of Statistics 37, 1--9.

See Also

evTestC, evTestA, evCopula, gofEVCopula, An.

Examples

## Do the data come from an extreme-value copula?
evTestK(rCopula(200, gumbelCopula(3)))
evTestK(rCopula(200, claytonCopula(3)))