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

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

SnB function

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

Arguments

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

<dl>

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

</dl>

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

Description

Usage

Value

Arguments