RosenblattGumbel

Computation of the Rosenblatt transform for Gumbel's copula

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

RosenblattGumbel function

<dl><dt>U</dt>
<dd>(n x d) matrix of pseudos-observations (normalized ranks)</dd>
<dt>theta</dt>
<dd>parameter of the Gumbel copula</dd></dl>

Arguments

Rosenblatt transform for Gumbel copula — RosenblattGumbel

<dl>

<dt>U</dt>
<dd>(n x d) matrix of pseudos-observations (normalized ranks)</dd>


<dt>theta</dt>
<dd>parameter of the Gumbel copula</dd>

</dl>

RosenblattGumbel: Rosenblatt transform for Gumbel copula

Description

Usage

Value

Arguments