Hi all,
I need to test gof of 3-dimensional t copula for my trivariate observed
data set. So I used the command
t.cop <-
tCopula(c(0.785,0.283,0.613),dim=3,dispstr="un",df=6,df.fixed TRUE)
where c(0.785,0.283,0.613) is the correlation pattern of my data with 0.785
pearson correlation between variable 1-2, 0.283 correlation between 1-3 and
0.613 is the correlation between variable 2-3. In given command degree of
freedom (dof) is fixed, which i'm varying from df = 2,...,6 & checking
corresponding p-value of the estimate using gofCopula such as,
gofCopula(t.cop,x,500) for 500 iterations; where x is my observed data
vector. I'm n't converting my data to random pair, as I assumed that
gofCopula will convert the data vector to pseudo-random vector.
But in every run the value of cramer von-mises is changing but p-value is
keeping constant as 0.000998004, showing quite a poor fit to data. Kindly
let me know where i'm getting wrong? Waiting to get quick response.
