HMMcopula: Markov Regime Switching Copula Models Estimation and Goodness-of-Fit (original) (raw)
Estimation procedures and goodness-of-fit test for several Markov regime switching models and mixtures of bivariate copula models. The goodness-of-fit test is based on a Cramer-von Mises statistic and uses Rosenblatt's transform and parametric bootstrap to estimate the p-value. The proposed methodologies are described in Nasri, Remillard and Thioub (2020) <doi:10.1002/cjs.11534>.
| Version: | 1.1.0 |
|---|---|
| Depends: | mvtnorm, foreach, doParallel, copula |
| Published: | 2024-10-02 |
| DOI: | 10.32614/CRAN.package.HMMcopula |
| Author: | Bouchra R. Nasri [aut], Bruno N Remillard [aut, cre, cph], Mamadou Yamar Thioub [aut], Romanic Pieugueu [aut] |
| Maintainer: | Bruno N Remillard <bruno.remillard at hec.ca> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | no |
| CRAN checks: | HMMcopula results |
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