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HMMcopula (version 1.1.0)

Markov Regime Switching Copula Models Estimation and Goodness-of-Fit

Description

Estimation procedures and goodness-of-fit test for several Markov regime switching models and mixtures of bivariate copula models. The goodness-of-fit test is based on a Cramer-von Mises statistic and uses Rosenblatt's transform and parametric bootstrap to estimate the p-value. The proposed methodologies are described in Nasri, Remillard and Thioub (2020) .

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Version

Install

install.packages('HMMcopula')

Monthly Downloads

183

Version

1.1.0

License

GPL (>= 2)

Maintainer

Bruno Remillard

Last Published

October 2nd, 2024

Functions in HMMcopula (1.1.0)

EstKendallTau

Sample Kendall's tau Estimation
Tau2Rho

Spearman's rho
bootstrapfun

Bootstrap function for a bivariate copula models
dilog

Dilogarithm function
SimMarkovChain

Markov chain simulation
copulaFamiliesPDF

COPULAPDF Probability density function for a copula.
SimHMMCop

Simulation of bivariate Markov regime switching copula model
EstMixtureCop

Estimation of bivariate mixture bivariate copula model
SnB

Cramer-von Mises statistic SnB for GOF based on the Rosenblatt transform
SimMixtureCop

Simulation of bivariate mixture copula model
ParamCop

Theta estimation
KendallTau

Kendall's tau of a copula
EstHMMCop

Estimation of bivariate Markov regime switching bivariate copula model
ParamTau

Alpha estimation
CopulaFamiliesCDF

CopulaFamiliesCDF
GofHMMCop

Goodness-of-fit of Markov regime switching bivariate copula model
GofMixtureCop

Goodness-of-fit of mixture bivariate copula model
RosenblattClayton

Rosenblatt transform for Clayton copula
RosenblattGaussian

Rosenblatt transform for Gaussian copula
RosenblattGumbel

Rosenblatt transform for Gumbel copula
RosenblattFrank

Rosenblatt transform for Frank copula
RosenblattStudent

Rosenblatt transform for Student copula