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.
|Author||Mamadou Yamar Thioub <[email protected]>, Bouchra Nasri <[email protected]>, Romanic Pieugueu <[email protected]>, and Bruno Remillard <[email protected]>|
|Maintainer||Mamadou Yamar Thioub <[email protected]>|
|License||GPL (>= 2)|
|Package repository||View on CRAN|
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