HMMcopula (1.0.3)

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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.

Maintainer: Mamadou Yamar Thioub
Author(s): Mamadou Yamar Thioub <>, Bouchra Nasri <>, Romanic Pieugueu <>, and Bruno Remillard <>

License: GPL (>= 2)

Uses: copula, doParallel, foreach, matrixcalc, mvtnorm

Released 12 months ago.

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