HMMcopula
Markov Regime Switching Copula Models Estimation and Goodness-of-Fit
Estimation procedures and goodness-of-fit test for several Markov regime switching models and mixtures of bivariate copula models. The goodness-of-fit test is based on a Cramer-von Mises statistic and uses Rosenblatt's transform and parametric bootstrap to estimate the p-value. The proposed methodologies are described in Nasri, Remillard and Thioub (2020) doi:10.1002/cjs.11534.
- Version1.1.0
- R versionunknown
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?No
- Last release10/02/2024
Team
Bruno N Remillard
MaintainerShow author detailsBouchra R. Nasri
Show author detailsRolesAuthorMamadou Yamar Thioub
Show author detailsRolesAuthorRomanic Pieugueu
Show author detailsRolesAuthor
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Last 30 days
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Last 365 days
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Dependencies
- Depends4 packages