RosenblattGaussian

(n x d) matrix of pseudos-observations (normalized ranks)

(d x d) correlation matrix, or the correlation coefficient (if, d = 2)

This function computes the Rosenblatt transform fot the Gaussian copula

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.

Mamadou Thioub

RosenblattGaussian: Rosenblatt transform for Gaussian copula

Description

Usage

Arguments

Value