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.


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Reference manual

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install.packages("HMMcopula")

1.0.3 by Mamadou Yamar Thioub, 9 months ago


Browse source code at https://github.com/cran/HMMcopula


Authors: Mamadou Yamar Thioub <[email protected]> , Bouchra Nasri <[email protected]> , Romanic Pieugueu <[email protected]> , and Bruno Remillard <[email protected]>


Documentation:   PDF Manual  


GPL (>= 2) license


Depends on matrixcalc, mvtnorm, foreach, doParallel, copula


See at CRAN