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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.
Package details |
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Author | Mamadou Yamar Thioub <mamadou-yamar.thioub@hec.ca>, Bouchra Nasri <bouchra.nasri@umontreal.ca>, Romanic Pieugueu <romanic.pieugueu@gerad.ca>, and Bruno Remillard <bruno.remillard@hec.ca> |
Maintainer | Mamadou Yamar Thioub <mamadou-yamar.thioub@hec.ca> |
License | GPL (>= 2) |
Version | 1.0.4 |
Package repository | View on CRAN |
Installation |
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