SimMarkovChain

Simulation of n consecutive values of a Markov chain with transition matrix Q, 
starting from a state eta0 or the uniform distribution on the set 1,..., r.

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

SimMarkovChain function

<dl><dt>Q</dt>
<dd>Transition probability matrix (d x d)</dd>
<dt>n</dt>
<dd>number of simulated vectors</dd>
<dt>eta0</dt>
<dd>variable eta</dd></dl>

Arguments

Markov chain simulation — SimMarkovChain

<dl>

<dt>Q</dt>
<dd>Transition probability matrix (d x d)</dd>


<dt>n</dt>
<dd>number of simulated vectors</dd>


<dt>eta0</dt>
<dd>variable eta</dd>

</dl>

SimMarkovChain: Markov chain simulation

Description

Usage

Value

Arguments