ParamCop

"gaussian" , "t" , "clayton" , "frank" , "gumbel"

family

unconstrainted parameters of the copula family

alpha

This function computes the parameter of the copula according to CRAN copula package (except for Frank copula, where theta = log(theta_R_Package)), corresponding to the unconstrainted parameters alpha.

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.

ParamCop: Theta estimation

Description

Usage

Arguments

Value