HMMcopula (1.0.3)

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Markov Regime Switching Copula Models Estimation and Goodness of Fit.

http://cran.r-project.org/web/packages/HMMcopula

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.

Maintainer: Mamadou Yamar Thioub
Author(s): Mamadou Yamar Thioub <mamadou-yamar.thioub@hec.ca>, Bouchra Nasri <bouchra.nasri@mail.mcgill.ca>, Romanic Pieugueu <romanic.pieugueu@gerad.ca>, and Bruno Remillard <bruno.remillard@hec.ca>

License: GPL (>= 2)

Uses: copula, doParallel, foreach, matrixcalc, mvtnorm

Released 12 months ago.


2 previous versions

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