ParamCop

Parameters of a copula according to CRAN copula package (except for Frank copula, where theta = log(theta_R_Package)), corresponding to the unconstrainted parameters alpha.

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) <doi:10.1002/cjs.11534>.

Bruno Remillard

HMMcopula

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

Romanic Pieugueu

ParamCop function

<dl><dt>family</dt>
<dd>"gaussian" , "t" , "clayton" , "frank" , "gumbel"</dd>
<dt>alpha</dt>
<dd>unconstrainted parameters of the copula family</dd></dl>

Arguments

Theta estimation — ParamCop

<dl>

<dt>family</dt>
<dd>"gaussian" , "t" , "clayton" , "frank" , "gumbel"</dd>


<dt>alpha</dt>
<dd>unconstrainted parameters of the copula family</dd>

</dl>

ParamCop: Theta estimation

Description

Usage

Value

Arguments