gofCopula: Goodness-of-Fit Tests for Copulae

43 Pages Posted: 20 Apr 2020 Last revised: 28 Apr 2021

See all articles by Ostap Okhrin

Ostap Okhrin

Humboldt University of Berlin - School of Business and Economics

Simon Trimborn

University of Amsterdam - Amsterdam School of Economics (ASE); University of Amsterdam - CeNDEF

Martin Waltz

Technische Universitat Dresden

Date Written: April 27, 2021

Abstract

Last decades show an increased interest in modeling various types of data through copulae. Different copula models have been developed, which lead to the challenge of finding the best fitting model for a particular dataset. From the other side, a strand of literature developed a list of different Goodness-of-Fit (GoF) tests with different powers under different conditions. Usual practice is the selection of the best copula via the p-value of the GoF test. Although this method is not purely correct due to the fact that non-rejection does not imply acception, this strategy is favoured by practitioners. Unfortunately, different GoF tests often provide contradicting outputs. The proposed
R-package brings under one umbrella 13 most used copulae - plus their rotated variants - together with 16 GoF tests and a hybrid one. The package offers flexible margin modeling, automatized parallelization, parameter estimation as well as a user friendly interface and pleasant visualizations of the results. To illustrate the functionality of the package, two exemplary applications are provided.

Keywords: Goodness-of-Fit tests, copula, R-package

Suggested Citation

Okhrin, Ostap and Trimborn, Simon and Waltz, Martin, gofCopula: Goodness-of-Fit Tests for Copulae (April 27, 2021). Available at SSRN: https://ssrn.com/abstract=3560825 or http://dx.doi.org/10.2139/ssrn.3560825

Ostap Okhrin

Humboldt University of Berlin - School of Business and Economics ( email )

Unter den Linden 6
Berlin, AK Berlin 10099
Germany

Simon Trimborn (Contact Author)

University of Amsterdam - Amsterdam School of Economics (ASE) ( email )

Roetersstraat 11
Amsterdam, North Holland 1018 WB
Netherlands

University of Amsterdam - CeNDEF ( email )

Roetersstraat 11
Amsterdam, NL-1018WB
Netherlands

Martin Waltz

Technische Universitat Dresden ( email )

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