RosenblattStudent

<p>(n x d) matrix of pseudos-observations (normalized ranks)</p>

<p>This function computes the Rosenblatt transform fot the Student copula</p>

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

RosenblattStudent: Rosenblatt transform for Student copula

Description

Usage

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