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.

Getting started

Package details

AuthorMamadou Yamar Thioub <[email protected]>, Bouchra Nasri <[email protected]>, Romanic Pieugueu <[email protected]>, and Bruno Remillard <[email protected]>
MaintainerMamadou Yamar Thioub <[email protected]>
LicenseGPL (>= 2)
Version1.0.3
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("HMMcopula")

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HMMcopula documentation built on Dec. 1, 2018, 5:04 p.m.