copula (version 0.999-15)

exchTest: Test of Exchangeability for a Bivariate Copula

Description

Test for assessing the exchangeability of the underlying bivariate copula based on the empirical copula. The test statistics are defined in the first two references. Approximate p-values for the test statistics are obtained by means of a multiplier technique.

Usage

exchTest(x, N = 1000, m = 0)

Arguments

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.

m

if m=0, integration in the Cramér--von Mises statistic is carried out with respect to the empirical copula; if m > 0, integration is carried out with respect to the Lebesgue measure and m specifies the size of the integration grid.

Value

Returns a list whose attributes are:

Details

More details are available in the two first references.

References

Genest, C., G. Nešlehová, J. and Quessy, J.-F. (2012). Tests of symmetry for bivariate copulas. Annals of the Institute of Statistical Mathematics. In press.

Kojadinovic, I. and Yan, J. (2012). A nonparametric test of exchangeability for extreme-value and left-tail decreasing bivariate copulas. The Scandinavian Journal of Statistics. In press.

Kojadinovic, I. and Yan, J. (2010). Modeling Multivariate Distributions with Continuous Margins Using the copula R Package. Journal of Statistical Software, 34(9), pages 1-20.

See Also

exchEVTest, gofCopula.

Examples

## Data from an exchangeable copulas
exchTest(rCopula(200,  gumbelCopula(3)))
exchTest(rCopula(200, claytonCopula(3)))

## An asymmetric Khoudraji-Clayton copula
kc <- khoudrajiCopula(copula1 = indepCopula(),
                      copula2 = claytonCopula(6),
                      shapes = c(0.4, 0.95))
exchTest(rCopula(200, kc))