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
Bouchra R. Nasri
Show author detailsRolesAuthorMamadou Yamar Thioub
Show author detailsRolesAuthorRomanic Pieugueu
Show author detailsRolesAuthor
Insights
Last 30 days
Last 365 days
The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.
Data provided by CRAN
Binaries
Dependencies
- Depends4 packages