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.


Reference manual

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1.0.3 by Mamadou Yamar Thioub, a year ago

Browse source code at

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