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.

Version: 1.0.2
Depends: matrixcalc, mvtnorm, foreach, doParallel, copula
Published: 2018-11-14
Author: Mamadou Yamar Thioub, Bouchra Nasri, Romanic Pieugueu, and Bruno Remillard
Maintainer: Mamadou Yamar Thioub <mamadou-yamar.thioub at hec.ca>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
CRAN checks: HMMcopula results

Downloads:

Reference manual: HMMcopula.pdf
Package source: HMMcopula_1.0.2.tar.gz
Windows binaries: r-devel: HMMcopula_1.0.2.zip, r-release: HMMcopula_1.0.2.zip, r-oldrel: HMMcopula_1.0.2.zip
OS X binaries: r-release: HMMcopula_1.0.2.tgz, r-oldrel: HMMcopula_1.0.2.tgz
Old sources: HMMcopula archive

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