ParamTau

'gaussian' , 't' , 'clayton' , 'frank' , 'gumbel'

family

Kendall's tau of the copula family

This function computes the unconstrainted parameter alpha for given Kendall's tau value

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.

ParamTau: Alpha estimation

Description

Usage

Arguments

Value