ParamTau

Unconstrainted parameter for a given Kendall's tau.

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

ParamTau function

<dl><dt>family</dt>
<dd>'gaussian' , 't' , 'clayton' , 'frank' , 'gumbel'</dd>
<dt>tau</dt>
<dd>Kendall's tau of the copula family</dd></dl>

Arguments

Alpha estimation — ParamTau

<dl>

<dt>family</dt>
<dd>'gaussian' , 't' , 'clayton' , 'frank' , 'gumbel'</dd>


<dt>tau</dt>
<dd>Kendall's tau of the copula family</dd>

</dl>

ParamTau: Alpha estimation

Description

Usage

Value

Arguments