Tau2Rho

Value of Spearman's rho corresponding to a constrainted (matlab) parameter theta for a copula family.

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

Tau2Rho function

<dl><dt>family</dt>
<dd>'gaussian' , 't' , 'clayton' , 'frank' , 'gumbel'</dd>
<dt>theta</dt>
<dd>parameter of the copula according to CRAN copula package (except for Frank copula, where theta = log(theta_R_Package))</dd></dl>

Arguments

Spearman's rho — Tau2Rho

<dl>

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


<dt>theta</dt>
<dd>parameter of the copula according to CRAN copula package (except for Frank copula, where theta = log(theta_R_Package))</dd>

</dl>

Tau2Rho: Spearman's rho

Description

Usage

Value

Arguments