CRAN/E | HMMcopula

HMMcopula

Markov Regime Switching Copula Models Estimation and Goodness of Fit

Installation

About

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.

Key Metrics

Version 1.0.4
Published 2020-04-21 1465 days ago
Needs compilation? no
License GPL-2
License GPL-3
CRAN checks HMMcopula results

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Maintainer

Maintainer

Mamadou Yamar Thioub

mamadou-yamar.thioub@hec.ca

Authors

Mamadou Yamar Thioub
Bouchra Nasri
Romanic Pieugueu
Bruno Remillard

Material

Reference manual
Package source

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

HMMcopula archive

Depends

matrixcalc
mvtnorm
foreach
doParallel
copula

Imports

stats