HMMcopula: Markov Regime Switching Copula Models Estimation and Goodness of
Fit
R functions to estimate and perform goodness of fit test for several
Markov regime switching and mixture bivariate copula models.
The goodness of fit test is based on a Cramer von Mises statistic and
uses the Rosenblatt transform and parametric bootstrap to estimate the p-value.
The estimation of the copula parameters are based on the pseudo-maximum likelihood
method using pseudo-observations defined as normalized ranks.
| Version: |
1.0.4 |
| Depends: |
matrixcalc, mvtnorm, foreach, doParallel, copula |
| Imports: |
stats |
| Published: |
2020-04-21 |
| Author: |
Mamadou Yamar Thioub,
Bouchra Nasri,
Romanic Pieugueu, and
Bruno Remillard |
| Maintainer: |
Mamadou Yamar Thioub <mamadou-yamar.thioub at hec.ca> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: |
no |
| CRAN checks: |
HMMcopula results |
Documentation:
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